I do not understand how conditional beta and alpha regression is done. How to regress the beta on betas and which model regress the alpha on alphas? The variable DP, TB and FX are Time series variables. I need help in understanding how we regress Time series conditional variables?
I was referring to both Treynor and Mazuy (1966) and Henriksson and Merton (1981) and I am working on Mutual fund performance in Recession and Expansion in the Technology sector.I am trying to do Ferson and Schadt(1996) conditional model.I don't have any econometrics background and know basic statistics. Hence I have trouble understanding the conditional model.
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.