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Portfolio allocation and the investment horizon: a multiscaling approach

Kim, Sangbae; In, Francis - In: Quantitative Finance 10 (2010) 4, pp. 443-453

A new approach is proposed for analysing portfolio allocation over various time scales. This new approach is based on wavelet analysis, which decomposes a given time series on a scale-by-scale basis. Empirical results indicate that, as the investment horizon lengthens, a greater weighting should...

Persistent link: https://www.econbiz.de/10008675037

What drives the term and risk structure of Japanese bonds?

In, Francis; Batten, Jonathan; Kim, Sangbae - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 518-541

Persistent link: https://www.econbiz.de/10007657535

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/10007990107

Dynamic interdependence and volatility transmission of Asian stock markets - Evidence from the Asian crisis

In, Francis; Kim, Sangbae; Yoon, Jai Hyung; Viney, … - In: International review of financial analysis 10 (2001) 1, pp. 87

Persistent link: https://www.econbiz.de/10007174553

Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis

In, Francis; Kim, Sangbae - In: Journal of multinational financial management 16 (2006) 4, pp. 411-423

Persistent link: https://www.econbiz.de/10007279866

Papers - 2 Modelling Linkages Between Australian Financial Futures Markets

Kim, Sangbae; In, Francis; Viney, Christopher - In: Australian journal of management 26 (2001) 1, pp. 19-34

Persistent link: https://www.econbiz.de/10006978182

The relationship between stock returns and inflation: new evidence from wavelet analysis

Kim, Sangbae; In, Francis - In: Journal of empirical finance 12 (2005) 3, pp. 435-444

Persistent link: https://www.econbiz.de/10007227712

The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets

Kim, Sangbae; In, Francis - In: Pacific-Basin finance journal 10 (2002) 5, pp. 571-582

Persistent link: https://www.econbiz.de/10007234632

False discoveries in volatility timing of mutual funds

Kim, Sangbae; In, Francis - In: Journal of banking & finance 36 (2012) 7, pp. 2083-2095

Persistent link: https://www.econbiz.de/10009972348

Investment horizon effect on asset allocation between value and growth strategies

In, Francis; Kim, Sangbae; Gençay, Ramazan - In: Economic modelling 28 (2011) 4, pp. 1489-1498

Persistent link: https://www.econbiz.de/10009017445