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Factor Models and Financial Returns Analysis by Prasad Hegde is a document available to read on EtoBox.
This dissertation examines the theoretical assumptions underlying approximate factor models of financial returns. It argues that static factor models cannot uniquely represent returns due to dynamic factors and price cointegration. The author proposes criteria to determine when approximate factor models apply and introduces dynamic factor and cointegration models to better explain returns. Specifically, the author finds that for large return panels, eigenvalue decay is smooth, violating assumptions for uniq
- Author
- Prasad Hegde
- Language
- EN