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Lecture 11: Regression Analysis (cont.)
Description
MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024
Instructor: Peter Kempthorne
View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024
YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves
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.
License: Creative Commons BY-NC-SA
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