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Econometrics
C/E/246. Statistical Methods of estimating CAMP
- WORDS:
- 1900
- DATE:
- 2008
- PRICE:
- 19.99 GBP
The paper conducts a series of econometric operations to estimate the single factor CAPM and the Fama and French Model. The regression is estimated and corrected for multicolinearity, autocorrelation and heteroskedasticity. Tests are conducted to evaluate the stationarity of the log-differenced returns of the assets.
KEYWORDS: CAPM, econometric estimation, ARMA, autocorrelation, multicolinearity, heteroscedastic,
Other Papers On: Econometrics
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