Analysis of the five-factor asset pricing model with wavelet multiscaling approach
Anil Kumar Bera, Umut Uyar, Sinem Guler Kangalli Uyar
| Year of publication: |
2020
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|---|---|
| Authors: | Bera, Anil K. ; Uyar, Umut ; Uyar, Sinem Guler Kangalli |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 76.2020, p. 414-423
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| Subject: | The five-factor asset pricing model | Investment horizon | Wavelet multiscaling approach | Daubechies least asymmetric wavelet filter | Maximum overlap | Discrete wavelet transform | Zustandsraummodell | State space model | CAPM | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2019.09.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012417821