A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan
This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GA...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Stockholms universitet, Statistiska institutionen
2021
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-194779 |