Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns

DOI10.1080/14697680600989576MaRDI QIDQ3498565zbMATH OpenOpenAlexFDO

Authors Don U. A. Galagedera, Elizabeth Ann Maharaj

Publication date 15 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600989576

zbMATH Keywords

asset pricingconditional pricing modelshigher-order systematic co-momentswavelet multi-scaling

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Portfolio theory (91G10)

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Cited in

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• Systematic risk and timescales

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