The CAPM further specifies the beta (the regression coefficient of a stock's return on the. Matlab code for calculating the others will be made available from the.
Matlab
1.MATLAB之工程應用 [Link]
2.MATLAB Guide, Second Edition by Desmond J. Higham and Nicholas J. Higham [PDF Download ][Author HomePage]
10.Robert Sollis [two books] Empirical Finance for Finance and Banking & Applied Time Series Modelling and Forecasting [CODE][Homepage][CAPM TEST][CAPM SAS]
11.Matlab/R functions for 'Statistical models and methods for financial markets [Link] bootstrapping CAPM [Capital Asset Pricing Model with Missing Data]
Morten Ørregaard Nielsen - Personal Website- [Link]
Jeffery Cooper - Personal Website- [Link]
Junye Li - Personal Website- [Link]
使用Matlab做计量经济分析:
The Econometrics of Asset Allocation and Risk Measurement
Welcome to the MATLAB Web Site of Eric JONDEAU & Michael ROCKINGER [Link]
Econometrics II
This routine produces OLS estimates of coefficients and standard errors.
This routine produces Newey-West (1987) standard errors identical to those produced by Stata.
This routine produces Fama-MacBeth estimates and can make either the Newey-West adjustment or the Abarbanell-Bernard (2000) correction. It also produced Z1 and Z2 statistics.
This routine produces either one- or two-way clustered standard errors.