Systematic risk and timescales
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Publication:4647250
DOI10.1088/1469-7688/3/2/305zbMATH Open1405.91739OpenAlexW2118014558MaRDI QIDQ4647250FDOQ4647250
Authors: Ramazan Genąy, Faruk Selųk, 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
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Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Actuarial science and mathematical finance (91G99)
Cites Work
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- Ten Lectures on Wavelets
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- Differentiating intraday seasonalities through wavelet multi-scaling
- Scaling properties of foreign exchange volatility
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
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- The contribution of wavelets to the analysis of economic and financial data
Cited In (20)
- Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
- Wavelet-based prediction of oil prices
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- SPECTRAL FINANCIAL ECONOMETRICS
- Interest rate spreads and output: a time scale decomposition analysis using wavelets
- Econophysics and capital asset pricing. Splitting the atom of systematic risk
- Granularity adjustment for risk measures: systematic vs unsystematic risks
- Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
- Improving model performance with the integrated wavelet denoising method
- Wavelet-based option pricing: an empirical study
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- A new wavelet-based denoising algorithm for high-frequency financial data mining
- The CAPM, national stock market betas, and macroeconomic covariates: a global analysis
- Causal structure among US corn futures and regional cash prices in the time and frequency domain
- Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting
- Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
- 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
- De-noising option prices with the wavelet method
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