Browsing by Subject "Beta estimation"
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Item Open Access Multiscale systematic risk(Pergamon Press, 2005) Gençay, R.; Selçuk, F.; Whitcher, B.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.