Global ETD Search
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Showing 1 to 1 of 1 for “"t-heterogeneity"”.
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Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets
The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these …