Vito Lestingi

Hello @jaymon0703 , I have some questions about these models. In ordering them I keep the same numbering of your issue comment to avoid confusion. 4. Benchmark Price Performance These...

Loading is the best, just wanted to point out that as a result of 2bbf27a the existing `data/FF3.monthly.RData` should be updated. At this point I'm wondering why not making e.g....

Hey @jaymon0703, thanks for reviewing! Apparently no, the only explanations coming to my mind is that it's just a leftover from when `TSM` was a `data.frame`. But yes, the portfolio...

cc: @braverock @jaymon0703 @erolbicero Hey @JustinMShea, let me premise I'm new to the requested vignette-based paper-specific development flow as opposed to the scripts-based sftwr dev I'm more familiar with. Although...

Thank you @JustinMShea for your responsiveness. I've tried the `.Rnw` based solution, unfortunately without much success so far. I understand there are circumstances where one doesn't want to build vignettes...

All the models targeted I can see so are aimed at studying the cross-section. Unless we want to introduce recurrent data structure transformations, most of the time `data.frame` seems perhaps...

For future reference, also related to comments under 1e75089. We obtain factors and returns data from different sources. Sometimes they express returns (or excess returns) as a decimal number, other...

Hey @jaymon0703, we are meant to do so and it's what we are already doing. Time-series regressions factor betas are the `betas`. For **figure 6** data points is a matter...

Authors use Fama-French (1992) **TERM** and **DEF** factors for their "Fama-French 6 factors model". In this regard, they write: > Finally, since we do not have data to construct TERM...

Thanks @braverock. So, since authors mentioned Fama-French (FF) without further details, independently of the cross-country dimension I'm assuming they refer to the original versions of those factors. **Government bonds.** For...