Sökning: "Adnan Berberovic"

Hittade 1 uppsats innehållade orden Adnan Berberovic.

  1. 1. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Adnan Berberovic; Alexander Eriksson; [2017]
    Nyckelord :finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER