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simson
2012 Apr 26
1
looking for an add-in for daily data analysis
...ly data of closing stock prices. As not all companies are traded daily
(e.g. on monday, then on thursday etc) at the stock exchange, there is
satistically a problem. There are some papers which explain the approach to
handle infrequent trading of a stock or non synchronous data and beta
estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins
which do address this topic, but i couldn't find any.
I have to calculated daily returns from the daily colsing stock prices.
Afterwards I want to estimate the alphas and betas of the market model for a
given timeperiod. Then I calcula...