Multiscale systematic risk
| dc.citation.epage | 70 | en_US |
| dc.citation.issueNumber | 1 | en_US |
| dc.citation.spage | 55 | en_US |
| dc.citation.volumeNumber | 24 | en_US |
| dc.contributor.author | Gençay, R. | en_US |
| dc.contributor.author | Selçuk, F. | en_US |
| dc.contributor.author | Whitcher, B. | en_US |
| dc.date.accessioned | 2016-02-08T10:24:26Z | |
| dc.date.available | 2016-02-08T10:24:26Z | |
| dc.date.issued | 2005 | en_US |
| dc.department | Department of Economics | en_US |
| dc.description.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. | en_US |
| dc.identifier.doi | 10.1016/j.jimonfin.2004.10.003 | en_US |
| dc.identifier.eissn | 1873-0639 | |
| dc.identifier.issn | 0261-5606 | |
| dc.identifier.uri | http://hdl.handle.net/11693/24122 | |
| dc.language.iso | English | en_US |
| dc.publisher | Pergamon Press | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/j.jimonfin.2004.10.003 | en_US |
| dc.source.title | Journal of International Money and Finance | en_US |
| dc.subject | Beta estimation | en_US |
| dc.subject | Multiresolution analysis | en_US |
| dc.subject | Scaling | en_US |
| dc.subject | Systematic risk | en_US |
| dc.subject | Wavelets | en_US |
| dc.title | Multiscale systematic risk | en_US |
| dc.type | Article | en_US |
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