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dc.contributor.authorGençay, R.en_US
dc.contributor.authorSelçuk, F.en_US
dc.contributor.authorWhitcher, B.en_US
dc.date.accessioned2016-02-08T10:30:22Z
dc.date.available2016-02-08T10:30:22Z
dc.date.issued2003en_US
dc.identifier.issn1469-7688
dc.identifier.urihttp://hdl.handle.net/11693/24504
dc.description.abstractIn this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are calculated to obtain an estimate of the portfolio's beta. The empirical results 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 are more relevant in the medium long run as compared to short time horizons.en_US
dc.language.isoEnglishen_US
dc.source.titleQuantitative Financeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1088/1469-7688/3/2/305en_US
dc.titleSystematic risk and timescalesen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage108en_US
dc.citation.epage116en_US
dc.citation.volumeNumber3en_US
dc.citation.issueNumber2en_US
dc.identifier.doi10.1088/1469-7688/3/2/305en_US
dc.publisherRoutledgeen_US
dc.identifier.eissn1469-7696


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