Regression

Daniel HERLEMONT

1

Simple Regression

Daniel HERLEMONT

2

Daniel HERLEMONT

3

Daniel HERLEMONT

4

Ordinary Least Square Criterion

Daniel HERLEMONT

5

Daniel HERLEMONT

6

Error Process

Daniel HERLEMONT

7

Goodness of fit

Daniel HERLEMONT

8

Regression R2

Daniel HERLEMONT

9

Hypothesis Testing

Daniel HERLEMONT

10

Daniel HERLEMONT

11

Linear Regression in Excel

Daniel HERLEMONT

12

Daniel HERLEMONT

13

Daniel HERLEMONT

14

Daniel HERLEMONT

15

Testing for Beta equals to one ?

Daniel HERLEMONT

16

Testing for normality

Daniel HERLEMONT

17

Multiple Regression

Daniel HERLEMONT

18

Daniel HERLEMONT

19

Daniel HERLEMONT

20

Goodness of Fit

Daniel HERLEMONT

21

Case Study

Daniel HERLEMONT

22

Daniel HERLEMONT

23

Daniel HERLEMONT

24

Daniel HERLEMONT

25

Example

Daniel HERLEMONT

26

Daniel HERLEMONT

27

Daniel HERLEMONT

28

Daniel HERLEMONT

29

Confidence Intervals

Daniel HERLEMONT

30

Daniel HERLEMONT

31

Daniel HERLEMONT

32

Prediction and Confidence Intervals

Daniel HERLEMONT

33

Prediction

Daniel HERLEMONT

34

Daniel HERLEMONT

35

Multicolinearity

Daniel HERLEMONT

36

Daniel HERLEMONT

37

Daniel HERLEMONT

38

Case Study : determinant of spread

Daniel HERLEMONT

39

Daniel HERLEMONT

40

Daniel HERLEMONT

41

Daniel HERLEMONT

42

Orthogonal Regression

Daniel HERLEMONT

43

Daniel HERLEMONT

44

Autocorrelation and Heterskedaticity

Daniel HERLEMONT

45

Daniel HERLEMONT

46

Testing for Autocorrelation

Daniel HERLEMONT

47

Daniel HERLEMONT

48

Testing for Heteroscedaticity

Daniel HERLEMONT

49

Daniel HERLEMONT

50

Generalized Least Squares

Daniel HERLEMONT

51

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

Daniel HERLEMONT

52

Daniel HERLEMONT

53