Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
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- Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers 16/04, Monash University, Department of Econometrics and Business Statistics.
References listed on IDEAS
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More about this item
KeywordsWavelet multi-scaling; higher-order systematic co-moments; asset pricing;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-18 (All new papers)
- NEP-ETS-2004-10-18 (Econometric Time Series)
- NEP-FIN-2004-10-18 (Finance)
- NEP-RMG-2004-10-18 (Risk Management)
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