Consider the data set mdec5FF6117. txt used in question 3 of the exercise in Chapter 6. Fit

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Consider the data set mdec5FF6117.

txt used in question 3 of the exercise in Chapter 6. Fit a two-state HMM Fama–French multi-factor model to the excess returns of Decile 5 portfolio. Perform similar analysis to that in Example 7.3.

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Nonlinear Time Series Analysis

ISBN: 9781119264057

1st Edition

Authors: Ruey S. Tsay, Rong Chen

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Question Posted: Jun 06, 2024 01:09 AM

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Consider the data set mdec5FF6117. txt used in question 3 of the exercise in Chapter 6. Fit

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Nonlinear Time Series Analysis

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