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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer Berlin Heidelberg
2023
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| 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 |