November 2013
Beginner
164 pages
3h 46m
English
book
Introduction to R for Quantitative Finance
by Gergely Daróczi, Michael Phule, Edina Berlinger (EURO), Peter Csoka, Daniel Daniel Havran, Marton Michaletzky, Zsolt Tulassay, Kata Váradi, Agnes Vidovics-Dancs, Agnes Vidovics Dancs
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Model testing
The first tests on the beta-return relationship used two-phase linear regression (Lintner 1965). The first regression estimates the security characteristic line and beta of the individual securities as described above. In the second regression, the security's risk premium is the dependent variable, whereas beta is the explanatory variable. The null-hypothesis assumes the intercept to be zero and the slope of the curve to be the market risk premium, which is estimated as the average of the sample. The test can be extended by an additional explanatory variable: the individual variance.
Data collection
We will present the test using a sample of the US market in the pre-crisis period between 2003 and 2007. As daily data includes more short-term ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.