[Numpy-discussion] Is there a function to calculate ecnomic beta coefficient in numpy given two time series data.
Wed Jun 4 20:11:17 CDT 2008
On Wed, Jun 4, 2008 at 6:04 PM, Keith Goodman <firstname.lastname@example.org> wrote:
> It might also be useful to shuffle (mp.random.shuffle) the market
> returns and repeat the beta calculation many times to estimate the
> noise level of your beta estimates.
I guess that is more of a measure of how different from zero your
betas are. Maybe use a bootstrap to measure the noise in beta.
More information about the Numpy-discussion