ChenFang2019BetaRankTest |
Asset Pricing Model Identification via Chen-Fang (2019) Beta Rank Test |
factors |
Factors - monthly observations from '07/1963' to '02/2024' |
FGXFactorsTest |
Testing for the pricing contribution of new factors. |
FRP |
Factor risk premia. |
GKRFactorScreening |
Factor screening procedure of Gospodinov-Kan-Robotti (2014) |
HACcovariance |
Heteroskedasticity and Autocorrelation robust covariance estimator |
HJMisspecificationDistance |
Compute the HJ asset pricing model misspecification distance. |
IterativeKleibergenPaap2006BetaRankTest |
Asset Pricing Model Identification via Iterative Kleibergen-Paap 2006 Beta Rank Test |
OracleTFRP |
Oracle tradable factor risk premia. |
returns |
Test Asset Excess Returns - monthly observations from '07/1963' to '02/2024' |
risk_free |
Risk free - monthly observations from '07/1963' to '02/2024' |
SDFCoefficients |
SDF Coefficients |
TFRP |
Tradable factor risk premia. |