From 5a45fd1623620431820f356f8a97c477b0eaaa2b Mon Sep 17 00:00:00 2001
From: a91quaini <alberto91quaini@gmail.com>
Date: Wed, 10 Jul 2024 21:22:01 +0200
Subject: [PATCH] typo in giglio xiu 2021

---
 src/frp.cpp               |   2 +-
 tests/testthat/Rplots.pdf | Bin 1420731 -> 1420731 bytes
 2 files changed, 1 insertion(+), 1 deletion(-)

diff --git a/src/frp.cpp b/src/frp.cpp
index 1b7d533..122c2ec 100644
--- 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
index 766b901f1f5b505c4a9c60a5541fa6931712aa56..02eb59ca000b46417183580b62c888d05320409e 100644
GIT binary patch
delta 92
zcmXZOs}+I(06@`$A_yWNzdayuG_eKc6;?64u7em!jKVS&Zo1n(Z~OdtMMK{|hw(dg
k$KFUFCpk+f7l|a6t0a=jO)|MlE`^lxkV<N4R@&wF2WH0|TmS$7

delta 92
zcmXZOs}+J^0D#ehB2NY7wa4!<U~&t}S6IdHbsWTKVicCKaMNA4Y2BvfnS@8Uhw<|o
k_Pvov4sw)OPLfC}ndDMPDQCGzCAD1TCXKYx{pjcKA7up{RsaA1