Narrow search
Showing 1 - 10 of 734
Cover Image
Analysing the performance of managed funds using the wavelet multiscaling method
In, Francis Haeuck; Kim, Sangbae; Marisetty, Vijaya; … - In: Review of quantitative finance and accounting 31 (2008) 1, pp. 55-70
Persistent link: https://www.econbiz.de/10003711406
Cover Image
Analysing the performance of managed funds using the wavelet multiscaling method
In, Francis; Kim, Sangbae; Marisetty, Vijaya; Faff, Robert - In: Review of Quantitative Finance and Accounting 31 (2008) 1, pp. 55-70
Persistent link: https://www.econbiz.de/10005542113
Cover Image
Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach
In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330
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...
Persistent link: https://www.econbiz.de/10003963131
Cover Image
Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach
In, Francis; Kim, Sangbae; Faff, Robert - In: Applied Financial Economics 20 (2010) 4, pp. 323-330
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...
Persistent link: https://www.econbiz.de/10008582864
Cover Image
The hedge ratio and the empirical relationship between the stock and futures markets : a new approach using wavelet analysis
In, Francis Haeuck; Kim, Sangbae - In: The journal of business : B 79 (2006) 2, pp. 799-820
Persistent link: https://www.econbiz.de/10003310384
Cover Image
On the relationship between changes in stock prices and bond yields in the G7 countries : wavelet analysis
Kim, Sangbae; In, Francis Haeuck - In: Journal of international financial markets, … 17 (2007) 2, pp. 167-179
Persistent link: https://www.econbiz.de/10003441596
Cover Image
Multiscale hedge ratio between the Australian stock and futures markets : evidence from wavelet analysis
In, Francis Haeuck; Kim, Sangbae - In: Journal of multinational financial management 16 (2006) 4, pp. 411-423
Persistent link: https://www.econbiz.de/10003374049
Cover Image
A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables
In, Francis Haeuck; Kim, Sangbae - In: Finance research letters 4 (2007) 3, pp. 165-171
Persistent link: https://www.econbiz.de/10003702375
Cover Image
A note on the relationship between industry returns and inflation through a multiscaling approach
Kim, Sangbae; In, Francis Haeuck - In: Finance research letters 3 (2006) 1, pp. 73-78
Persistent link: https://www.econbiz.de/10003300880
Cover Image
False discoveries in volatility timing of mutual funds
Kim, Sangbae; In, Francis Haeuck - In: Journal of banking & finance 36 (2012) 7, pp. 2083-2094
Persistent link: https://www.econbiz.de/10009629677