New answers tagged factor-models
2
votes
Covariance Matrix by Multi-Factor Model
Let there be $n$ assets and $k$ factors in the market. We assume multivariate normally distributed factor returns
$$
r_f\sim \mathrm{N}\left(\mu_f,\Sigma_f\right)
$$
with $k\times k$ factor covariance ...
- 5,358
0
votes
Fama-MacBeth regression in Python using the linearmodels library
This is not exactly an answer, but I hope to discuss a few things.
LinearFactorModel is definitely not Fama-Macbeth regression. The first stage seems the same, but the second stage only performs one ...
- 1
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