intrinsicFRP

2.1.0

An R Package for Factor Model Asset Pricing

0packages depend

2.5Kdownloads / year

95.6%test coverage

12/13checks pass

Overview

About

Maintained by Alberto QuainiFirst published 2023-05-155 releasesCRAN page ↗GitHub ↗

Functions for evaluating and testing asset pricing models, including estimation and testing of factor risk premia, selection of "strong" risk factors (factors having nonzero population correlation with test asset returns), heteroskedasticity and autocorrelation robust covariance matrix estimation and testing for model misspecification and identification. The functions for estimating and testing factor risk premia implement the Fama-MachBeth (1973) doi:10.1086/260061 two-pass approach, the misspecification-robust approaches of Kan-Robotti-Shanken (2013) doi:10.1111/jofi.12035, and the approaches based on tradable factor risk premia of Quaini-Trojani-Yuan (2023) doi:10.2139/ssrn.4574683. The functions for selecting the "strong" risk factors are based on the Oracle estimator of Quaini-Trojani-Yuan (2023) doi:10.2139/ssrn.4574683 and the factor screening procedure of Gospodinov-Kan-Robotti (2014) doi:10.2139/ssrn.2579821. The functions for evaluating model misspecification implement the HJ model misspecification distance of Kan-Robotti (2008) doi:10.1016/j.jempfin.2008.03.003, which is a modification of the prominent Hansen-Jagannathan (1997) doi:10.1111/j.1540-6261.1997.tb04813.x distance. The functions for testing model identification specialize the Kleibergen-Paap (2006) doi:10.1016/j.jeconom.2005.02.011 and the Chen-Fang (2019) doi:10.1111/j.1540-6261.1997.tb04813.x rank test to the regression coefficient matrix of test asset returns on risk factors. Finally, the function for heteroskedasticity and autocorrelation robust covariance estimation implements the Newey-West (1994) doi:10.2307/2297912 covariance estimator.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("intrinsicFRP", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("a91quaini/intrinsicFRP")

Development version from a91quaini/intrinsicFRP. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-intrinsicfrp

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-intrinsicFRP

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-intrinsicFRP

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

1NOTE12OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 11.3 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.86

95.6%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-05-14
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-05-07
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Show 2 earlier snapshots

ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 3,316 wordsVignettesNopkgdown siteNoNEWSYes · 67% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 0%

Downloads

2.5K

CRAN downloads in the past year

Rank #16,701 · ~7/day · ~204/mo

Releases R versions

Daily download trend is not available in this view yet.

17030 days

64190 days

2.5K1 year

Compare downloads with other packages →

Also on615 r2u2 autocran

Repository

GitHub ↗ a91quaini/intrinsicfrp

8Stars

5Forks

0Open issues

0Open PRs

1Releases

145Commits

2Contributors

factor-modelsrcpparmadillorisk-premiumfinancefactor-selectionidentification-testsmisspecification

License GPL-3.0 · 145 commits · Last activity 2026-04-03 · 0% stars, 30d

Stars over time

2025-06-06 · 82026-07-07 · 8

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 4 families in the upstream repository

Checks run against github.com/a91quaini/intrinsicfrp on 2026-08-02.

Continuous integration (1)

GitHub Actions

Reproducibility and dev environment (1)

data-raw/

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

5 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.3.0

Imports (3)

glmnetgraphicsRcpp

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (1)

testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

Alberto Quaini

Author, Maintainer, Copyright holder

Authors (1)

Alberto Quaini

Author, Maintainer, Copyright holder

Alberto Quaini

Author, Maintainer, Copyright holder

Package Timeline

5 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
2.1.0Latest
2024-04-15 · current release · diff ↗
2.0.1
2024-01-08 · diff ↗
2.0.0
2023-11-30 · diff ↗
1.0.0
2023-09-18 · diff ↗
0.1.0
2023-05-15
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2023-05-15
Total releases: 5 / 3 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 4.3.0
Bundled data: 140 KB / 3 files
Download size: 697 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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