Multiscale SUR estimation of systematic risk

DOI10.1515/SNDE-2023-0017MaRDI QIDQ6937995zbMATH OpenFDO

Authors Antonis A. Michis

Publication date 26 August 2025

Published in Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

zbMATH Keywords

waveletsseemingly unrelated regressionssystematic riskerror covariance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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