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by Bottom
Tue Sep 02, 2014 3:40 am
Forum: Estimation
Topic: Up-market dowm-market estimation
Replies: 0
Views: 1908

Up-market dowm-market estimation

Hi, I am trying to analyse 100 funds' excess returns with classical factors by using the SUR model as a system which was relatively easy, except quite limited outputs for Wald's restriction tests where I set either alphas or betas as zeros. Now, I would like to estimate how up-market and down-market...

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