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- Sat Aug 08, 2009 8:17 pm
- Forum: Estimation
- Topic: Time-Varying Beta
- Replies: 0
- Views: 5545
Time-Varying Beta
I am trying to use the beta.prg. However, I would like to forecast time-varying beta (in-sample and out-of-sample) along with forecasting evaluation criteria. How can I do it? ' BETA.PRG (3/7/2007) ' Time varying beta ' demonstrates several ways ' to obtain beta between assets ' 1) constant beta ' 2...