Thanks a lot dimitris!However, I should verify that beta is equal 1 (H1)...not its difference from 1 (H0). Could you help me, please?thanks again.misi

Hi all,I'll go straight to the question...In OLS, do you know I could test the significance difference from 1 (instead of zero) of the slope coefficient?Thanks all.misi

<t>Dear all,how can I compute a right measure of volatility for illiquidity stocks?In fact, If a stock doesn't trade for e.g. two days the raw stock returns in those days are zeros.Obviously this affect the fairness of the volatility measure.On the other hand, if I drop these observations I overstim...

<t>dear aaron,I came across the JF paper by Harvey "coskewness and asset pricing".I grasp the meaning of cosweness but I can't understand how to calculate it in practice (see eq 11).please, Could you help me?you talk about many coskewness as you are in a portfolio (maybe cd) framework.That's not the...

<t>dear all,I came across the JF paper by Harvey "coskewness and asset pricing".I grasp the meaning of cosweness but I can't understand how to calculate it in practice (see eq 11).please, Could anyone help me?I saw a previous message posted on the wilmott forum on coskewness butThey talk about many ...

what's the password to read the vba code?

thanks gjlipman,but are you really sure that annual correlation is equal to daily correlation?I would like to ask you if you know a good "practical" book for portfolio mgmt?

<t>in a porfolio optimization problem is it better to use daily or monthly returns?the trade-off is as follow:- monthly returns held better properties (less leptokurtosis etc.);- daily returns increase the number of observations for the same time period;For the latter reason I use daily returns. I c...

suppose to have a log-normal distributed variable,how can I apply the transformation you suggest?

sorry errrb,I'm really stupid.please, could you help me to understand?

- operating leverage (fixed costs/variables costs index)- company revenues sensitivity (to industry/global revenues)- financial leverageif you consider companies in a particular industry, eg aerospaceI wonder other specific factors' sensistivity, eg oil price.

really thanks both!misi

hi all,I'm looking for basic econometric vba routines like linear regressions, logit, pca and so on.Has anyone already done that?thanks in advance.

<t>basically, the price drop depends on:- spread between the dividend tax rate and the capital gains tax rate for a particular stock [the so called "clientele effect" (Elton and Gruber, 70) - some investors prefer higher dividend stocks and others do not => market segmentation]- the possibility to e...

hi all,is there any way to trasform an observed distribution (for example left tailed)into a normal one?please, can anyone help me?