hedge_ratio.py #293
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hedge_ratio.py #293
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Work-in-progress. |
rsueppel
reviewed
Mar 21, 2022
macrosynergy/panel/hedge_ratio.py
Outdated
| the sample of data used for the rolling regression. If an entire period of data | ||
| is excluded by the blacklisting, where a period is defined by the frequency | ||
| parameter "refreq", the regression coefficient will remain constant for that | ||
| period, or all periods coinciding with the blacklist. |
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Blacklist periods can carry forward a past hedge ratio. Thus, they don't have to be NAs. However, after the blacklist period has ended, new estimates of hedge ratios must not be calculated based on returns during the blacklist period, but also on the returns thereafter or (possibly) before.
rsueppel
reviewed
Mar 21, 2022
…ynergy/macrosynergy into feature/portfolio_hedging
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Solving ToDos. |
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Updates following code review. |
todos for daily hedge ratios and hedged returns
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Requires code clean-up and logic check. |
Closed
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Believe latest ToDos have been addressed - minor changes. |
added formalities and three todos
rsueppel
approved these changes
Apr 28, 2022
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Commencing code.