楼主: jack1010
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[问答] 求助,R高手进来看下,关于capm [推广有奖]

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jack1010 发表于 2014-2-12 09:37:41 |AI写论文
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我有一篇要用R语言计算的论文要写,但是完全没有思路额
求会R语言的高手帮助下,  给个思路,或者大致方向。
具体要求:
Download data for the last five years (subject to availability) for Sainsbury (J) stock. It is up to you how you download this data (but please note the source and mention it in your assignment). Download data for the same period for FTSE all shares (^FTAS) as well as the gilts index BG06.L. Using the last two as proxies for the overall market return and the risk-free return, calculate the appropriate continuously compounded (logarithmic) returns.
1. Provide the appropriate time series regression tests for the CAPM.
2. Estimate the Single Index model for your stock and discuss the differences to the CAPM estimates.
3. Provide a rolling analysis of the time series CAPM regression. Select appropriate window and briefly justify your choice. Draw appropriate conclusions from your analysis
如果有哪位高手会的请与我联络
Email: heyan0203@hotmail.com

关键词:CAPM APM cap Availability appropriate discuss justify window choice 如何

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