i*****r
发帖数: 1302 | 1 比如说, interest rate下降时,我的return,上升. rate flat,我的return beta减小,
rete 上升时,我的return flat或者为负. 那么如果run regression的话肯定不起作用.
我想用rate来replicate我的eturn, 请问应该用啥模型? 来判断变换的点? 统计中有
这种模型么? 谢谢 | B****y
发帖数: 791 | 2 why regression doesn't work?
A very simple example, what if your regression function is a1-a2*rate, or a1
/rate?
You can plot your return vs rate, then try to find a group of functions have
similar shape as your plot. | i*****r
发帖数: 1302 | 3 因为比如说rate先下降后上升, 而我的return却一直是上升的,那么对整个period做
regression的话出来的beta肯定是insignifant. 应该是把rate上升和下降的时候分开
做regression.问题是怎么找这个分开的点,因为实际图形可能更加复杂 | r*g
发帖数: 3159 | 4 dynamic linear regression. |
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