An Empirical Analysis of Fama and French Three Factor Model－An Application of GARCH Model and Quantile Regression
碩士 === 真理大學 === 管理科學研究所 === 92 === This research we apply GARCH model proposed by Bollerslev（1986） and quantile regression proposed by Koenker and Bassett(1978), to survey the cross section ability of Fama－French three factor model.Our finding is as follows. When error term is taken into account tog...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02509182326551912666 |