The package implements all robust asset pricing methods in Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models, (2023) and Bayesian Fama-MacBeth Regressions (2024), with S. Bryzgalova and J. Huang

Markdown Slides (HTML, PDF) contain extensive usage examples, and the corresponding executable R Notebook source can be downloaded here.

The package is available directly in R with the command:

install.packages(‘BayesianFactorZoo’)

Documentation and binaries are available as R CRAN Package

A Julia port package is independently maintained by Elias Ohneberg

A Python package implementing the Bayesian Fama-MacBeth regressions (in full generality) is independently maintained by Gustavo Amarante

A set of introductory teaching slides (3 topics: “Bayesian Basics”, “Posterior Sampling and MCMC Methods”, “Bayesian Asset Pricing and the Factor Zoo”), with LaTeX source files, can be downloaded here