1
Q
How can the beta of a stock be found using a linear regression model?
A
2
Q
What is a limitation of using a linear model to estimate the beta of a stock?
A
3
Q
What is the definition of the observation-driven regression model?
To estimate the beta of a stock
A
4
Q
What are the three properties of the observation-driven regression?
A
5
Q
How is the observation-driven regression model estimated?
A
6
Q
What are the observation and transition equation of the parameter-driven dynamic regression?
A
7
Q
What is the indirect inference estimation?
A
8
Q
What is the CAPM model?
A
9
Q
What does a value of beta mean in the CAPM model?
A
10
Q
How can the variance of the CAPM model be decomposed? What does this imply?
A
11
Q
- What is the idea of dynamic CAPM?
- How is the value of beta calculated?
A
Financial Econometrics
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