1. J

    Moving Window Principal Component Analysis

    Hi, I'm finishing my thesis we're I'm forming currency-hedge investment portfolios out of the PCA on the currencies. I need to do a PCA using a "moving-window" of the previous 60 months of data, throughout my entire data-set. If you want the "pseudo-code" is: -Run PCA using previous...
  2. R

    multiple Rolling regression

    Dear STATA- User, I`m using STATA while writing my thesis and have one problem: I regress Jensen Alphas for 303 funds while 200 days and I need for every day and every fund one alpha, so I would get a list of 303 funds with 200 Alphas. If I use the command: foreach fonds of varlist ***...