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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana - 2006
Persistent link: https://www.econbiz.de/10003326236
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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10003284309
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The international CAPM and a wavelet-based decomposition of value at risk
Fernández, Viviana (contributor) - 2005
Persistent link: https://www.econbiz.de/10003035297
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The International CAPM and a Wavelet-Based Decomposition of Value at Risk
Fernandez, Viviana - 2006
In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both … upon the choice of the world market portfolio. In particular, the stock markets of the sampled countries appear to be more …
Persistent link: https://www.econbiz.de/10012466435
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Macroeconomic perspectives on the equity premium puzzle
Zenhorst, Jorn - 2012
Persistent link: https://www.econbiz.de/10009713475
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The dynamics of returns on renewable energy companies : a state-space approach
Inchauspe, Julian; Ripple, Ronald D.; Trück, Stefan - In: Energy economics 48 (2015), pp. 325-335
Persistent link: https://www.econbiz.de/10011533827
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Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach
Alsarhan, Abdulwahab A.; Khalifa, Ahmed A. A.; Al-Titi, Omar - In: American journal of finance and accounting 3 (2013/14) 1, pp. 24-40
Persistent link: https://www.econbiz.de/10010403324
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State-space implementation in forecasting carbon and gas prices in commodity markets
Azhar, Rialdi; Wisnu, Febryan Kusuma; Kesumah, Fajrin … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 3, pp. 280-286
Persistent link: https://www.econbiz.de/10013285561
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Component structure for nonstationary time series : application to benchmark oil prices
Bhar, Ramaprasad; Hammoudeh, Shawkat; Thompson, Mark A. - In: International review of financial analysis 17 (2008) 5, pp. 971-983
Persistent link: https://www.econbiz.de/10003792334
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How important are common factors in driving non-fuel commodity prices? : a dynamic factor analysis
Vansteenkiste, Isabel - 2009
This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...
Persistent link: https://www.econbiz.de/10003867082