Systematic risk and timescales

By Ramazan Gen¸ay, Faruk Sel¸uk, Brandon Whitcher. 2003

202 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6de15922225ed25971076fa7d325d6acaddcb6d3

How researchers see this paper

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In Finance

1. Dominik Reinarz
2. S. Yousefi
3. Thomas Conlon
4. I. Weinreich
5. John Cotter
6. Marco Rocco

Citations in the corpus

• An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011, background): “mposition of economic relationships, (Ramsey and Lampart, 1998), scaling properties of volatility, (Gencay et al., 2001b) and the relationship between systematic risk and return at different scales, (Gencay et al., 2003). More recently, the relationship between stock returns and inflation, (Kim and I”
• Wavelet-based prediction of oil prices (2005, background): “[19] look into similar relations between Money and Income, Expenditure and Income and Money Growth and Inflation.”