Learning objectives: Explain how to test whether a regression is affected by heteroskedasticity. Describe approaches to using heteroskedastic data. Characterize multicollinearity and its consequences; distinguish between multicollinearity and perfect collinearity. Describe the consequences of...
Dear all, I now try to calculate the factor VAR for my fixed income portfolio. The factor VAR assumes that each and every asset in the portfolio has an exposure on a set of the same factors. It’s greatest advantage is no need to calculate too many volatilities and correlations ( I have some 70...
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