PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013)

PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013)

The Arbitrage Pricing Theory (APT) is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressiv...

Full description

Bibliographic Details
Main Authors: VIAN RISKA AYUNING TYAS, KOMANG DHARMAWAN, MADE ASIH
Format: Article
Language:English
Published: Universitas Udayana 2014-01-01
Series:E-Jurnal Matematika
Subjects:
Arbitrage Pricing Theory
Granger causality test
optimal lag test
Portmanteau test
stationary test
Vector Autoregression
Online Access:https://ojs.unud.ac.id/index.php/mtk/article/view/9601

Internet

https://ojs.unud.ac.id/index.php/mtk/article/view/9601

Similar Items