This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Key Features:This book covers the essence of wavelet analysis - such as the maximum overlap discrete wavelet transform, wavelet correlation, and variance - in a unified manner. It covers important topics in finance, such as portfolio asset allocation, asset pricing, hedging strategies, new risk...