18.642 | Fall 2024 | Undergraduate

Topics in Mathematics with Applications in Finance

Lecture 11: Regression Analysis (cont.)

This lecture covers the theory and application of regression modeling, including linear regression properties, hypothesis testing, and advanced methods like ridge, lasso, and principal components regression. It also explores practical use cases such as ETF sector regressions and empirical analysis of the capital asset pricing model, highlighting model diagnostics, parameter estimation, and challenges like residual distribution and regime changes.

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Fall 2024
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