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Longitudinal Analysis of Barra Multi Factor Model Using R

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Authors
김한나
Advisor
Mynghee Cho Paik
Major
자연과학대학 통계학과
Issue Date
2015-02
Publisher
서울대학교 대학원
Keywords
Linear mixed effects modelrandom effectBarra multi factor modelMSCI Korea Equity Index
Description
학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2015. 2. Myunghee Cho Paik.
Abstract
Barra multi factor model has been widely used in this mature capital market. Many investors use this model to obtain the estimates of the market risk and excess returns. In this paper, Barra multi factor model framework is constructed by longitudinal data analysis, linear mixed effects model, in Korea stock market since the idea of each company is correlated and then consideration of random effect is appropriate. This application might be quite useful to fit a data and gives a good explanation.
Language
English
URI
http://hdl.handle.net/10371/131302
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College of Natural Sciences (자연과학대학)Dept. of Statistics (통계학과)Theses (Master's Degree_통계학과)
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