Transfer a risky asset and a risk-free asset to a Vector Auto Regression (VAR) model in matlab
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Hi all,
For my research, I need to transfer the returns from a risk-free asset and a risky asset (mom) to a vector auto regression model. This way I can simulate multiple years ahead to determine te optimal weights to be assigned to the assets.
Does anyone have a clue how to do this?
Thanks.
Kevin
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