Multiscale systematic risk

By Ramazan Gencay, F. Selçuk, Brandon Whitcher. 2005

338 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/e4b0d4233bbe5c4dbff7dcb549645c4661722972

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Citations in the corpus

UNIT ROOT TESTS WITH WAVELETS (2010, background): “Gençay, Selçuk, and Whitcher (2003, 2005) propose a wavelet approach for estimating the systematic risk or beta of an asset in a capital asset pricing model.”
The continuous wavelet transform : a primer (2011, neutral): “or, by using (34), 1 R2 1(2:::p) 1 R2 1(3:::p) = 1 %1 2:q2%2 1:q2 But, by using the fact that C is Hermitian, we easily conclude that %2 1:qj = % 1 2:q2 , hence %1 2:q2%2 1:q2 = %1 2:q2% 1 2:q2 = j%1 2:q2 j 2 = r2 12:q2 = r 2 1 2:(3:::p): So, we nally obtain 1 R(2) 1(2:::p) = (1 R 2 1(3:::p))(1 r 2”
Measuring comovement in the time-frequency space (2010, neutral): “Recent work drawing on wavelets includes, Kim and In (2005) who investigate the relationship between stock returns and inflation, Gençay et al. (2005) and Fernandez (2005) study the Capital Asset Pricing Model, Gallegati et al. (2008) and Yogo (2008) resort to wavelets for business cycle analysis,…”
International comovement of stock market returns: a wavelet analysis (2009, background): “12 Let us illustrate the importance of wavelet analysis for risk management (see also Gençay et al. (2005) and Fernandez (2005, 2006)).”
Oil and the macroeconomy: using wavelets to analyze old issues (2011, background): “Among the exceptions to this rule, one can point to Connor and Rossiter (2005), Gençay et al. (2005), and Gallegati and Gallegati (2007).”
Using wavelets to decompose the time–frequency effects of monetary policy (2008, neutral): “[6,18,44,9,14].”
A wavelet-based assessment of market risk: The emerging markets case (2012, background): “…and In (2003, 2005), who investigate the relationship between financial variables and industrial production and between stock returns and inflation, Gençay et al. (2003, 2005) and Fernandez (2005, 2006), who study the CAPM at different frequency scales, Connor and Rossiter (2005) focus on…”