Describe the purpose of a Vector Autoregression (VAR), and estimate and interpret a VAR model describing the dynamic relationship between returns on the market and returns on the industry portfolios.
Business Assignment Question 1 Download 20 years’ worth of monthly data for the period January 2002 to December 2021 on a company of your choice from the CRSP database via WRDS, and download the Fama-French 3 Factors from the Kenneth French Data Library or from WRDS. You can access the Kenneth French Data Library directly […]