Essays on multifactor models for stocks expected returns in European markets: A block-bootstrap validation proposal

Author(s): Cueto, José Manuel

Tutor: Grané Chávez, Aurea

Department/Institute: UC3M. Departamento de Estadística

Degree: Programa de Doctorado en Economía de la Empresa y Métodos Cuantitativos por la Universidad Carlos III de Madrid

Issued date: 2021-05-10

Defense date: 2021-07-07

Committee: Presidenta: Sofia Ramos.- Secretaria: Maria Helena Lopes Moreira Da Veiga.- Vocal: Agnieszka Jach

Keywords: Asset Pricing , Bootstrap , Common principal component analysis , Cross-sectional regression , Factor models , Time series

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

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