The beta heuristic from a time/frequency perspective : a wavelet analysis of the market risk of sectors
Bruce D. McNevin, Joan Nix
| Year of publication: |
January 2018
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|---|---|
| Authors: | McNevin, Bruce D. ; Nix, Joan |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 68.2018, p. 570-585
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| Subject: | Wavelet analysis | CAPM | Equity betas | Sectors | Betafaktor | Beta risk | Zustandsraummodell | State space model | Schätzung | Estimation | Theorie | Theory | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011936138