Natale Muriana

5 Questions 7 Answers 0 Followers

Questions related from Natale Muriana

How to compute Fama - Macbeth (1973) two step regression?

Hi all, i'm trying to understand Fama - Macbeth two step regression. I have 10 portfolios and T=5 years. In the first step i compute 10 time series regressions and if i have 2 factors i get 20...

06 June 2019 6,190 3 View

Why do we assume quadratic utility function in classical portfolio theory?

Hi everybody, why do we assume quadratic utility function in the classic portfolio theory?

04 April 2019 4,921 8 View

I have to estimate the Fama French three factor model through the GMM method but i do not have stata license. Is it possible using Eviews?

I want to use the GMM technique to estimate parameters of Fama Fench three factor model. I don't have stata license so how can i do with Eviews? I saw there is GMM between the methods available...

03 March 2019 3,759 12 View

How can i deal with non normality of error terms in time series regressions?

I'm testing the Fama&French three factor model in the italian stock market. After having done my 16 time series regressions i applied the usual diagnostic tests for error terms and what i see is...

03 March 2019 4,276 11 View

Grs test statistics

Hi All, i'm testing the FF Three Factor model in the italian stock market. In my regressions i found that 3 out of 16 portfolios have alphas statistically different from 0 but at the same time...

01 January 1970 6,787 5 View