Tagged Questions
1
vote
1answer
698 views
Calculating portfolio allocation beta with different asset classes?
I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of:
...
6
votes
3answers
373 views
How to account for jumps in intraday data when calculating beta?
I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling
\begin{equation}
Y = \beta * X + c
\end{equation}
where $Y$ is the return of XLF ...
