Applying Gibbons Ross and Shanken (1989) Test in Matlab to test that all intercepts are equal to zero

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Markus
Markus 2014년 2월 28일
Hi i want to test if the Capital Asset Pricing Model and the Carhart 4 Factor Model can explain the returns of 10 Portfolios sorted by size with the GRS Test. Is there a function in MATLAB? Thanks.

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