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Daily Archives: April 8, 2016

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Introducing {bdrift} PART 1: Beta drift of stocks

Introducing {bdrift} PART 1: Beta drift of stocks TL;DR VERSION: In this post series, I will introduce bdrift, my first CRAN-published R package. The purpose of bdrift is to analyze multi-factor asset pricing models for parameter drift. Parameter drift – or beta drift – refers to the situation where the estimate for a regression model varies…

April 8, 2016Leave a commentSupeRchargeBy Markus Peter Auer
Meaner Reversion
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