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Oct
21
comment Robust Returns-Based Style Analysis
Thanks. In case you haven't found it I would recommend a quick Google for the Zivot and Yollin presentation if you want some examples of working R code of estimating time-varying betas with the Kalman Filter. Here is a currently working link: rinfinance.com/agenda/2012/workshop/Zivot+Yollin.pdf
Sep
23
comment Robust Returns-Based Style Analysis
In practice, I think there are two issues. 1) What features are you using to predict returns? In my experience RBSA is more effective if you use common return factors such value, size, momentum etc. 2) How are you estimating the model? The papers linked to seem more than adequate for point 2 from a practical perspective, but aren't going to be very useful if you do not address point 1. Maybe you could clarify more what you think is inadequate about the approaches listed?
Aug
18
answered Robust Returns-Based Style Analysis
Mar
31
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answered Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
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20
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20
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19
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