Im currently analyzing a Dataset of the German Stock market. While Holidays like Christmas or New Year aren't a problem for Return Calculation or Portfolio Performance, im testing some regressions and don't know how to handle these Dates.
I'm regressing the Return of my Portfolio, on the Market Returns of the last ten days. Then im adding the betas up, so i can plot the time varying betas of my sample for every point in time.
Do these days have to be cancelled? I don't think the guys of the paper im replicating cancelled out each holiday plus the ten days before. However the regression results would be biased if Non-Trading-days are in the sample.