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fitTsfmLagLeadBeta, fitTsfmUpDn, fitTsfmMT #54

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martinrd3D opened this issue Aug 23, 2021 · 0 comments
Open

fitTsfmLagLeadBeta, fitTsfmUpDn, fitTsfmMT #54

martinrd3D opened this issue Aug 23, 2021 · 0 comments

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@martinrd3D
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Justin and I discussed that these functions should be options in the function fitTsfm.
Probably all three of these functions can go there as is, but we should check the option arguments of each, and how we pass them, as an immediate priority.

Also, fitTsfmLabLeadBeta currently implements the Dimson method without the correction of bias due to serial correlation in the market returns, and that needs to be added as an option, and furthermore the thought is to also enhance this thin trading beta capability to include the Scholes-Williams method.

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