In this paper, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for...

In this paper, we test the applicability of different Fama-French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF...