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发帖数: 920 | 1 Hi, All:
This is a general math (statistical) problem.
If I believe Apple's stock(AAPL) is correlated to stock price of Research in
Motion(RIMM), and is also correlated to the movement of Nasdaq(QQQQ), that
is, I think the price change of AAPL can be formulated as:
AAPL% = a*RIMM% + b*QQQQ%
where:
AAPL% is the price change of AAPL,
RIMM% is the price change of RIMM,
QQQQ% is the price change of QQQQ,
a and b are two coefficients.
My question is that, how can we calculate these two coefficients a | m*****e
发帖数: 692 | 2 It's not listed in ecnometrics book but it's quite similar to the univariate
regression.
y = aX1 + bX2 + error
cov(y,X1) = aVar(X1) + bcov(X1,X2)
cov(y,X2) = acov(X1,X2) + bVar(X2) |
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