Systematic risk and timescales

DOI10.1088/1469-7688/3/2/305zbMath1405.91739OpenAlexW2118014558MaRDI QIDQ4647250

Faruk Selųk, Ramazan Genąy, Brandon Whitcher

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24504

zbMATH Keywords

waveletsmultiresolution analysisscalingcapital asset pricing modelsystematic risk

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Actuarial science and mathematical finance (91G99)

Related Items (15)

Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ SPECTRAL FINANCIAL ECONOMETRICS ⋮ De-noising option prices with the wavelet method ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting ⋮ Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Market concentration and market power of the Swedish mortgage sector -- a wavelet panel efficiency analysis ⋮ A new wavelet-based denoising algorithm for high-frequency financial data mining ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ Cross-correlating wavelet coefficients with applications to high-frequency financial time series ⋮ Wavelet-based option pricing: an empirical study ⋮ Wavelet-based prediction of oil prices ⋮ Wavelet-based multi-resolution GARCH model for financial spillover effects

Cites Work

• Differentiating intraday seasonalities through wavelet multi-scaling
• Scaling properties of foreign exchange volatility
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• Ten Lectures on Wavelets
• The contribution of wavelets to the analysis of economic and financial data
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Systematic risk and timescales