CRAN/E | BayesianFactorZoo

BayesianFactorZoo

Bayesian Solutions for the Factor Zoo

Installation

About

Contains the functions to use the econometric methods in the paper Bryzgalova, Huang, and Julliard (2023) doi:10.1111/jofi.13197. In this package, we provide a novel Bayesian framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a stand-alone model, we provide functions including BayesianFM() and BayesianSDF() to deliver reliable price of risk estimates for both tradable and nontradable factors. For competing factors and possibly nonnested models, we provide functions including continuous_ss_sdf(), continuous_ss_sdf_v2(), and dirac_ss_sdf_pvalue() to analyze high-dimensional models. If you use this package, please cite the paper. We are thankful to Yunan Ding and Jingtong Zhang for their research assistance. Any errors or omissions are the responsibility of the authors.

Key Metrics

Version 0.0.0.2
R ≥ 3.5.0
Published 2023-11-14 157 days ago
Needs compilation? no
License GPL-3
CRAN checks BayesianFactorZoo results

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Maintainer

Maintainer

Jiantao Huang

huangjt@hku.hk

Authors

Svetlana Bryzgalova

aut

Jiantao Huang

cre

Christian Julliard

aut

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

BayesianFactorZoo archive

Depends

R ≥ 3.5.0

Imports

MCMCpack
reshape2
MASS
timeSeries
coda
mvtnorm
matrixcalc
ggplot2
nse
Rdpack
stats
utils
Matrix