Wavelet-based systematic risk estimation: application on GCC stock markets: theSaudi Arabia case
Year of publication: |
2020
|
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Authors: | Mabrouk, Anouar Ben |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 4.2020, 4, p. 542-595
|
Subject: | wavelets CAPM | systematic (market) risk | scaling | GCC stock markets | Tadawul | Aktienmarkt | Stock market | Arabische Golf-Staaten | Gulf countries | CAPM | Schätzung | Estimation | Zustandsraummodell | State space model | Risiko | Risk | Systemrisiko | Systemic risk |
Description of contents: | Description [doi.org] |
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