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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …
Persistent link: https://www.econbiz.de/10014289044
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Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets
Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207
Persistent link: https://www.econbiz.de/10012271374
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Co-movement of foreign exchange rate returns and stock market returns in an emerging market : evidence from the wavelet coherence approach
He, Xingxing; Gökmenoglu, Korhan K.; Kirikkaleli, Dervis; … - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1994-2005
Persistent link: https://www.econbiz.de/10014253642
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Metrics unreliability and marketing overspending
Sridhar, Shrihari; Naik, Prasad A.; Kelkar, Ajay - In: International journal of research in marketing : IJRM ; … 34 (2017) 4, pp. 761-779
Persistent link: https://www.econbiz.de/10011792398
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Long memory in the volatility of an emerging equity market : the case of Turkey
DiSario, Robert; Saraoglu, Hakan; McCarthy, Joseph; Li, Hsi - In: Journal of international financial markets, … 18 (2008) 4, pp. 305-312
Persistent link: https://www.econbiz.de/10003727933
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Systematic risk and time scales : new evidence from an application of wavelet approach to the emerging Gulf stock markets
Masih, Mansur; Alzahrani, Mohammed; Al-Titi, Omar - In: International review of financial analysis 19 (2010) 1, pp. 10-18
Persistent link: https://www.econbiz.de/10008668735
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Predictability in stock returns in an emerging market : evidence from KSE 100 stock price index
Kiani, Khurshid M. - In: The Pakistan development review : PDR 45 (2006) 3, pp. 369-381
Persistent link: https://www.econbiz.de/10003560286
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Timescale-dependent stock market comovement : BRICs vs. developed markets
Lehkonen, Heikki; Heimonen, Kari - In: Journal of empirical finance 28 (2014), pp. 90-103
Persistent link: https://www.econbiz.de/10011285085
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Characterizing co-movements between Indian and emerging Asian equity markets through wavelet multi-scale analysis
Shah, Aasif; Deo, Malabika; King, Wayne - In: Journal of East Asian economic integration 19 (2015) 2, pp. 189-220
Persistent link: https://www.econbiz.de/10011303610
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Co-movements of GCC emerging stock markets : new evidence from wavelet coherence analysis
Aloui, Chaker; Hkiri, Besma - In: Economic modelling 36 (2014), pp. 421-431
Persistent link: https://www.econbiz.de/10010415824