Essays about: "Edvin Wallin"
Found 1 essay containing the words Edvin Wallin.
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1. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan
University essay from Stockholms universitet/Statistiska institutionenAbstract : 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 GARCH(1,1) model for the volatility. READ MORE
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