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

DOI10.1080/14697680600989576zbMATH Open1135.91359OpenAlexW1991770442MaRDI QIDQ3498565FDOQ3498565

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

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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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