Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10008668735
Persistent link: https://www.econbiz.de/10010464001
The paper is the first attempt to estimate systematic risk ‘beta' at different time scales in the context of the emerging Gulf Cooperation Council (GCC) equity markets by applying a relatively new approach in finance known as wavelet analysis. Our results indicate that on average beta...
Persistent link: https://www.econbiz.de/10013104640
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...
Persistent link: https://www.econbiz.de/10013051470