Systematic risk and timescales
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Publication:4647250
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Cites work
- scientific article; zbMATH DE number 1281932 (Why is no real title available?)
- scientific article; zbMATH DE number 1380579 (Why is no real title available?)
- An introduction to wavelets and other filtering methods in finance and economics
- Differentiating intraday seasonalities through wavelet multi-scaling
- Scaling properties of foreign exchange volatility
- Ten Lectures on Wavelets
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
- The contribution of wavelets to the analysis of economic and financial data
Cited in
(20)- Granularity adjustment for risk measures: systematic vs unsystematic risks
- Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting
- Improving model performance with the integrated wavelet denoising method
- Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
- The CAPM, national stock market betas, and macroeconomic covariates: a global analysis
- Econophysics and capital asset pricing. Splitting the atom of systematic risk
- Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- Wavelet-based prediction of oil prices
- Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
- SPECTRAL FINANCIAL ECONOMETRICS
- De-noising option prices with the wavelet method
- Interest rate spreads and output: a time scale decomposition analysis using wavelets
- A new wavelet-based denoising algorithm for high-frequency financial data mining
- Causal structure among US corn futures and regional cash prices in the time and frequency domain
- Wavelet-based option pricing: an empirical study
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Market concentration and market power of the Swedish mortgage sector -- a wavelet panel efficiency analysis
- Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
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