Bayesian Fama-MacBeth Regressions

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  • Author: Svetlana Bryzgalova, Jiantao Huang, Christian Julliard
  • Maintainer: Gustavo Amarante
  • Tags asset pricing, factor models, risk premia, bayesian methods

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bayesfm - Bayesian Fama-MacBeth

Implementation of "Bayesian Fama-MacBeth Regressions" from Bryzgalova, Huang and Julliard (2024).

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  • Author: Svetlana Bryzgalova, Jiantao Huang, Christian Julliard
  • Maintainer: Gustavo Amarante
  • Tags asset pricing, factor models, risk premia, bayesian methods

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0.2.2

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