Stock profiling using time–frequency-varying systematic risk measure

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 invest...

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Detalles Bibliográficos
Autor principal: Mestre, Roman
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9925367/
https://www.ncbi.nlm.nih.gov/pubmed/36817698
http://dx.doi.org/10.1186/s40854-023-00457-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9925367/
https://www.ncbi.nlm.nih.gov/pubmed/36817698
http://dx.doi.org/10.1186/s40854-023-00457-7

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