The RATS Software Forum

Dear Tom, It is part of their data indeed. To be specific, this is their data of 10 monthly value weighted size deciles with Fama-French 4 factors for Table 2 (10+4=14 columns of data while the first one is date), which I have downloaded from CRSP, a standard database. They use 5-year non-overlappin...

Dear Tom I think I have made some mistake. I am attaching the data, codes in Gauss 10.0 for your consideration. I am trying to code it in Rats but have no idea how to specify mu and C with the market return premium. In the user guide, it seems that both mu and C are not so complicated. Or did you me...

Dear Tom

That's exactly the same point which have been claimed by the authors of this paper. Maybe I have made some mistake. Anyway, thank you very much for your help and the detailed information.

Best
Cheng

Dear Tom,

The Gauss codes are programmed by myself, not theirs. I didnot do any approximation, and it works, which is not of my expectation. Perhaps I did not do it in a right way. I am debugging it.

Best
Cheng

Dear Tom, Thank you for your reply. Rats is still very new to me. I may need some time to absorb the detailed information you have given above. I was doing Gauss but found that the approximation could be unnecessary. I do not have their data so I was not able to replicate their results. Given your r...

Dear all,

Could anyone replicate the extended kalman filter approach in H Mamaysky, M Spiegel, H Zhang - Review of financial studies, 2008, may I kindly ask? Thank you very much.


All the best
Cheng