Systematic risk and timescales

DOI10.1088/1469-7688/3/2/305zbMath1405.91739MaRDI QIDQ4647250

Faruk Selųk, Ramazan Genąy, Brandon Whitcher

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24504

zbMATH Keywords

wavelets; multiresolution analysis; scaling; capital asset pricing model; systematic risk

Mathematics Subject Classification ID

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

91G99: Actuarial science and mathematical finance

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Cites Work

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• Scaling properties of foreign exchange volatility
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• Ten Lectures on Wavelets
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