Multiscale systematic risk
Date
2005
Authors
Gençay, R.
Selçuk, F.
Whitcher, B.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
BUIR Usage Stats
4
views
views
7
downloads
downloads
Citation Stats
Series
Abstract
In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the relationship between the return of a portfolio and its beta becomes stronger as the wavelet scale increases. Therefore, the predictions of the CAPM model should be investigated considering the multiscale nature of risk and return. © 2004 Elsevier Ltd. All rights reserved.
Source Title
Journal of International Money and Finance
Publisher
Pergamon Press
Course
Other identifiers
Book Title
Degree Discipline
Degree Level
Degree Name
Citation
Permalink
Published Version (Please cite this version)
Collections
Language
English