R implementation of the US equity risk premium derived from the futures contracts linked to the S&P 500 Annual Dividend Index and the net buybacks, forecast as a percentage of the consensus S&P 500 earnings.
The SPX variance risk premium measured over 36 years of free data: ~4 vol points of persistent premium, Sharpe ~0.9 net, and the crash months that explain why it exists. Julia, stdlib-only, honest accounting.
G10 cross-currency basis + FX carry/value/momentum factor model: a from-scratch research stack (CIP/OIS basis, Fama-MacBeth cross-sectional fair value, dollar-neutral portfolios, variance targeting, realistic costs, Newey-West inference, honest tail/skew diagnostics).
Add a description, image, and links to the risk-premia topic page so that developers can more easily learn about it.
To associate your repository with the risk-premia topic, visit your repo's landing page and select "manage topics."