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Multiscale systematic risk

  • Gencay, Ramazan
  • Selcuk, Faruk
  • Whitcher, Brandon

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 24 (2005)
Issue (Month): 1 (February)
Pages: 55-70

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Handle: RePEc:eee:jimfin:v:24:y:2005:i:1:p:55-70
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  1. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  2. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Differentiating intraday seasonalities through wavelet multi-scaling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 543-556.
  3. John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
  4. Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
  5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  6. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
  7. Frankfurter, George M. & Leung, Wai K. & Brockman, Paul D., 1994. "Compounding period length and the market model," Journal of Economics and Business, Elsevier, vol. 46(3), pages 179-193, August.
  8. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  9. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  10. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
  11. Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
  12. Bjornson, Bruce & Hong Shik Kim & Lee, Kiseok, 1999. "Low and high frequency macroeconomic forces in asset pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 77-100.
  13. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
  14. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  15. Reinganum, Marc R., 1981. "A New Empirical Perspective on the CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 439-462, November.
  16. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
  17. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Scaling properties of foreign exchange volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 249-266.
  18. Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 527-537, December.
  19. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
  20. Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834, June.
  21. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
  22. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
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