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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 ...
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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 ...
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