On 11/05/2025 20:43, Theodoros Panagiotidis wrote:
> Dear All,
>
> You might find the attached script useful for teaching purposes.
>
> It runs a simple CAPM with a January dummy variable and plots the
> rolling coefficients and the rolling R^2.
>
> Credit to Michalis Tsachakis for this.

Thanks, this is really very nice. Kudos to you!

I'm attaching a slightly revised version of the part of the script where
the plots are produced, that uses the "overlapping bands" syntax, which
is IMO a bit nicer.

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti@univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
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