Structural asset pricing theory with wavelets

DOI10.1080/14697688.2019.1594350zbMath1422.91282OpenAlexW2939513801MaRDI QIDQ5235456

Todd B. Walker, Chen Xu, Elizabeth Ann Housworth

Publication date: 11 October 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1594350

zbMATH Keywords

waveletsasset pricing

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (1)

Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets

Cites Work

• Unnamed Item
• Spectral utility, Wiener-Hopf techniques, and rational expectations
• Asset Prices in an Exchange Economy
• Consumption Commitments and Habit Formation
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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