Multiscale SUR estimation of systematic risk
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Cites work
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- scientific article; zbMATH DE number 1371689 (Why is no real title available?)
- scientific article; zbMATH DE number 1556159 (Why is no real title available?)
- Modeling systemic risk with Markov switching graphical SUR models
- More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
- The International CAPM and a Wavelet-Based Decomposition of Value at Risk
- Time-frequency regression
- Wavelet instruments for efficiency gains in generalized method of moment models
- Wavelets in Economics and Finance: Past and Future
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