Multiscale systematic risk

Journal of International Money and Finance

Volumn 24, Issue 1, 2005, Pages 55-70

  Gençay, Ramazan ^a   Selçuk, Faruk ^b   Whitcher, Brandon ^c  

^a SIMON FRASER UNIVERSITY   (Canada)

^b BILKENT UNIVERSITY   (Turkey)

^c GLAXOSMITHKLINE   (United Kingdom)

Author keywords

Beta estimation; Multiresolution analysis; Scaling; Systematic risk; Wavelets

Indexed keywords

EID: 13444301575     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2004.10.003     Document Type: Article

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