The effects of economic variables in the UK stock market

This thesis examines the links between economic time-series innovations and statistical risk factors in the UK stock market using principal components analysis (PCA) and the general-to-specific (Gets) approach to econometric modelling. A multi-factor risk structure for the UK stock market is assumed...

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Bibliographic Details
Main Author: Vitor Leone
Format: Default Thesis
Published: 2006
Subjects:
Other economics not elsewhere classified
Economic time-series innovations
Stock returns
Multi-factor models
CAPM
APT
Principal components analysis (PCA)
Sorting criteria
The Kalman Filter
Arima
First differences
General-to-specific (Gets)
Market capitalisation and beta
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/7787
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