2
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1answer
69 views

How to see the impact of one variable on a set of other variables?

Thanks for your reply!! So I will explain a bit more of my problem. I want to perform a stress test on my portfolio of equities. So basically, I want to see the impact of shock in macroeconomic ...
5
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1answer
1k views

How to use Newey West covariance corrector?

I have implemented the following model: daily_vol(t+1) = A*daily_vol(t) + B*weekly_vol(t) + C*monthly_vol(t) + error where vol means volatility, and A, B, C are ...