Essays about: "non-stationary idiosyncratic risk"
Found 1 essay containing the words non-stationary idiosyncratic risk.
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1. Estimating the Market Risk Exposure through a Factor Model with Random Effects
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. READ MORE
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