Implement a rolling-window regression for the time-series estimation of the factor exposure. Skip one month after each

Question:

Implement a rolling-window regression for the time-series estimation of the factor exposure. Skip one month after each rolling period before including the exposures in the cross-sectional regression to avoid a lookahead bias. Then, adapt the cross-sectional regression and compute the average risk premiums.

Fantastic news! We've Found the answer you've been seeking!