Multiscale Systematic Risk: An Application on ISE-30
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- Hassan Farazmand & Amin Mansouri & Morteza Afghah, 2014. "Choosing the best type of wavelet: Case study-business cycle in Iran," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(5), pages 293-314, May.
- Bruno Milani & Paulo Sérgio Ceretta, 2014. "A multiscale approach to emerging market pricing," Economics Bulletin, AccessEcon, vol. 34(2), pages 784-792.
More about this item
KeywordsMultiscale systematic risk; CAPM; wavelets; multiscale variance;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-CMP-2007-04-09 (Computational Economics)
- NEP-RMG-2007-04-09 (Risk Management)
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