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Suppose you have $$X\equiv\left(x_{1},\: x_{2}\right) $$ where $x_{1}$ are the daily log returns of the security and $x_{2}$ are the daily log returns of the market. Assume further that $X$ is iid multivariate normal $$X\sim N\left(\mu,\Sigma\right) $$ People frequently calculate beta as $$\beta_{1,2}\equiv\frac{\Sigma_{1,2}}{\Sigma_{2,2}} $$ If you ...


2) you only take trading days for your analysis because taking in account days on which no price changes took place would shift results in a wrong direction. For exmple, you mostly take 250 trading days p.a. 3) Your time interval up to 2007 is okay and excludes the financial crisis, which is a non-normal circumstance. Therefore, your time interval can be ...

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