typo in giglio xiu 2021

a91quaini · Jul 10, 2024 · 5a45fd1 · 5a45fd1
1 parent 360df50
commit 5a45fd1
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diff --git a/src/frp.cpp b/src/frp.cpp
@@ -313,7 +313,7 @@ Rcpp::List GiglioXiu2021RiskPremiaCpp(
   arma::vec e_vals;
   arma::mat U;
   arma::mat V;
-  arma::svd(U, e_vals, V, centered_returns.t() / (n_assets * n_observations));
+  arma::svd(U, e_vals, V, centered_returns.t() / std::sqrt(n_assets * n_observations));
   e_vals = arma::square(e_vals);
 
 

diff --git a/tests/testthat/Rplots.pdf b/tests/testthat/Rplots.pdf