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Wavelet decomposition of heterogeneous investment horizon

Chen, W. D.; Li, H. C. - In: Journal of economics and finance 40 (2016) 4, pp. 714-734

Persistent link: https://www.econbiz.de/10011659067

Revisiting the cryptocurrencies role in stock markets : ADCC-GARCH and Wavelet Coherence

Jana, Susovon; Sahu, Tarak Nath; Pandey, Krishna Dayal - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 110-135

Persistent link: https://www.econbiz.de/10014511851

Assessing connectedness of transportation cryptocurrencies and transportation stocks : evidence from wavelet quantile correlation

Patel, Ritesh; Goodell, John W.; Chishti, Muhammad Zubair - In: Finance research letters 58 (2023) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10014631411

Co-movements in commodity markets andimplications in diversification benefits

Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425

Persistent link: https://www.econbiz.de/10012219019

Time-frequency analysis of behaviourally classified financial asset markets

Omane-Adjepong, Maurice; Ababio, Kofi A.; Alagidede, … - In: Research in international business and finance 50 (2019), pp. 54-69

Persistent link: https://www.econbiz.de/10012176983

Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons

Bu, Di; Liao, Yin; Shi, Jing; Peng, Hongfeng - In: Journal of economic dynamics & control 108 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012313627

Impact of global macroeconomic factors on spillovers among Australian sector markets : fresh findings from a wavelet-based analysis

Jiang, Zhuhua; El Khoury, Rim; Alshater, Muneer Maher; … - In: Australian economic papers 63 (2024) 1, pp. 78-105

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Estimating Fundamental Sharpe Ratios : A Kalman Filter Approach

Gatfaoui, Hayette - 2016

A wide community of practitioners still focuses on classic Sharpe ratio as a risk adjusted performance measure due to its simplicity and easiness of implementation. Performance is computed as the excess return relative to the risk free rate whereas risk adjustment is provided by the asset...

Persistent link: https://www.econbiz.de/10012983221

A state space modeling for proactive management in equity investment

Takahashi, Akihiko; Takahashi, Soichiro - In: International journal of financial engineering 9 (2022) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10014234372

Probing cross-market diversification : opportunities in energy commodities

Siddiqui, Saif; Roy, Preeti - In: Finance India : the quarterly journal of Indian … 36 (2022) 3, pp. 1043-1068

Persistent link: https://www.econbiz.de/10013477600

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