Applying Gibbons Ross and Shanken (1989) Test in Matlab to test that all intercepts are equal to zero

4 visualizaciones (últimos 30 días)
Markus
Markus el 28 de Feb. de 2014
Hi i want to test if the Capital Asset Pricing Model and the Carhart 4 Factor Model can explain the returns of 10 Portfolios sorted by size with the GRS Test. Is there a function in MATLAB? Thanks.

Iniciar sesión para responder a esta pregunta.

Respuestas (0)

Categorías

Más información sobre Risk Management Toolbox en Help Center y File Exchange.

Etiquetas

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by