This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...

Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale...