Alpha, Beta and Beyond
Coauthors: Carlo Pozzi, Samuele Marafin, Francesco Martinelli
We compare statistical procedures for estimating the beta coefficient in the market model. Statistical procedures (OLS regression, shrinkage, robust regression, exponential smoothing, Kalman filter) for measuring the Value at Risk of a portfolio are studied and compared.
Files
NEWBetaEstimation0905.xls
File Excel with the data set and the output of the estimation procedure