Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Documentation for package ‘BayesianFactorZoo’ version 0.0.0.2

BayesianFM	Bayesian Fama-MacBeth
BayesianSDF	Bayesian estimation of Linear SDF (B-SDF)
BFactor_zoo_example	Simulated Example Dataset 'BFactor_zoo_example'
continuous_ss_sdf	SDF model selection with continuous spike-and-slab prior
continuous_ss_sdf_v2	SDF model selection with continuous spike-and-slab prior (tradable factors are treated as test assets)
dirac_ss_sdf_pvalue	Hypothesis testing for risk prices (Bayesian p-values) with Dirac spike-and-slab prior
psi_to_priorSR	Mapping psi ('psi0') to the prior Sharpe ratio of factors ('priorSR'), and vice versa.
SDF_gmm	GMM Estimates of Factors' Risk Prices under the Linear SDF Framework
Two_Pass_Regression	Fama MacBeth Two-Pass Regression