Regression - Yats.com

Daniel HERLEMONT. 12. Linear Regression in Excel. Page 13. Daniel HERLEMONT. 13. Page 14. Daniel HERLEMONT. 14. Page 15. Daniel HERLEMONT. 15 ...
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Regression

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Simple Regression

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Ordinary Least Square Criterion

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Error Process

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Goodness of fit

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Regression R2

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Hypothesis Testing

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Linear Regression in Excel

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Testing for Beta equals to one ?

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Testing for normality

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Multiple Regression

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Goodness of Fit

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Case Study

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Example

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Confidence Intervals

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Prediction and Confidence Intervals

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Prediction

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Multicolinearity

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Case Study : determinant of spread

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Orthogonal Regression

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Autocorrelation and Heterskedaticity

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Testing for Autocorrelation

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Testing for Heteroscedaticity

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Generalized Least Squares

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Applications  Testing Theory    

No arbitrage Efficient Market Hypothesis The Capital Asset Pricing Model Asset Pricing (APT, …)

 Market Behavior  Microstructure  Price Discovery  Financial Market Integration

 Optimal Portfolio Allocation  Index replication  Search for Alpha

 Regression Based Hedging  Trading  Basket trasing  Pairs Trading

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