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The international CAPM and a wavelet-based decomposition of value at risk

Fernández, Viviana - 2006

Persistent link: https://www.econbiz.de/10003326236

The CAPM and value at risk at different time-scales

Fernández, Viviana - In: International review of financial analysis 15 (2006) 3, pp. 203-219

Persistent link: https://www.econbiz.de/10003348571

Value at risk under heterogeneous investment horizons and spatial relations

Fernández, Viviana - In: The VaR implementation handbook, (pp. 463-483). 2009

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The international CAPM and a wavelet-based decomposition of value at risk

Fernández, Viviana (contributor) - 2005

Persistent link: https://www.econbiz.de/10003035297

The international CAPM and a wavelet-based decomposition of value at risk

Fernández, Viviana (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10003284309

Asset pricing in emerging markets : selected papers on asset market behavior, credit, and investment in emerging economies

Fernández, Viviana (contributor) - 2014

Persistent link: https://www.econbiz.de/10011389708

The International CAPM and a Wavelet-Based Decomposition of Value at Risk

Fernandez, Viviana - 2006

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...

Persistent link: https://www.econbiz.de/10012466435

The International CAPM and a Wavelet-Based Decomposition of Value at Risk

Fernandez, Viviana - 2010

Persistent link: https://www.econbiz.de/10012761574