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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

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

Persistent link: https://www.econbiz.de/10014289044

Do bubbles spill over? : estimating financial bubbles in emerging markets

Hatipoglu, Ozan; Uyar, Onur - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 64-75

Persistent link: https://www.econbiz.de/10009714771

Financial liberalization and emerging stock market efficiency : an empirical analysis of structural changes

Rejeb, Aymen Ben; Boughrara, Adel - In: Macroeconomics and finance in emerging market economies 7 (2014) 2, pp. 230-245

Persistent link: https://www.econbiz.de/10010436273

Country risk for emerging economies : a dynamical index proposal with a case study.

Mordecki, Ernesto; Sosa Rodríguez, Andrés - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 2, pp. 285-302

Persistent link: https://www.econbiz.de/10012617016

The term structure of government bond yields in an emerging market

Ullah, Wali; Bari, Khadija Malik - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 5-28

Persistent link: https://www.econbiz.de/10012021769

Wavelet analysis of the interdependence between stocks and bonds in the selected east European and Eurasian emerging markets

Živkov, Dejan; Njegić, Jovan; Pecanac, Marko - In: Ekonomický časopis : časopis pre ekonomickú … 67 (2019) 2, pp. 175-194

Persistent link: https://www.econbiz.de/10012149898

Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011760331

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

Dynamic efficiency in the East European emerging markets

Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi; Shimada, Junji - In: Asia-Pacific financial markets 12 (2005) 2, pp. 159-179

Persistent link: https://www.econbiz.de/10003378341

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