Applying Gibbons Ross and Shanken (1989) Test in Matlab to test that all intercepts are equal to zero

4 views (last 30 days)
Markus
Markus on 28 Feb 2014
Hi i want to test if the Capital Asset Pricing Model and the Carhart 4 Factor Model can explain the returns of 10 Portfolios sorted by size with the GRS Test. Is there a function in MATLAB? Thanks.

Sign in to answer this question.

Answers (0)

Categories

Find more on Risk Management Toolbox in Help Center and File Exchange

Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!