A multiscale approach to emerging market pricing
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References listed on IDEAS
- Rua, António & Nunes, Luis C., 2012.
"A wavelet-based assessment of market risk: The emerging markets case,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 52(1), pages 84-92.
- Luís Catela Nunes & António Rua, 2012. "A wavelet-based assessment of market risk: The emerging markets case," Working Papers w201203, Banco de Portugal, Economics and Research Department.
- Conlon, T. & Crane, M. & Ruskin, H.J., 2008. "Wavelet multiscale analysis for Hedge Funds: Scaling and strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5197-5204.
- Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Cifter, Atilla & Ozun, Alper, 2007. "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper 2484, University Library of Munich, Germany.
- Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
More about this item
KeywordsEmerging Markets; ICAPM; Multi-scale analysis;
StatisticsAccess and download statistics
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