Search found 3 matches

by Sabs
Wed Mar 06, 2019 5:13 am
Forum: Econometric Discussions
Topic: GRS F-Test or Gibbons, Ross and Shanken (1989)
Replies: 1
Views: 4091

Re: GRS F-Test or Gibbons, Ross and Shanken (1989)

Hi
Did you use Eviews for GRS test statistics?
Thanks
by Sabs
Wed May 09, 2018 10:56 pm
Forum: Data Manipulation
Topic: Winsorizing
Replies: 9
Views: 9740

Re: Winsorizing

Are you sure you are winsorizing and not not trimming?
by Sabs
Tue May 08, 2018 5:21 pm
Forum: Programming
Topic: Value Weighted Portfolio Construction
Replies: 0
Views: 1964

Value Weighted Portfolio Construction

Hi. I have monthly data on firm`s returns and their Fundamentals. I now want to construct top vs. bottom portfolio on monthly based on their market capitalization. Following I need to regress Fama & French model factors on the average return of these separate portfolios to see whether there outp...

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