Wavelet-Based Beta Estimation : Applications to Indian Stock Market

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach is useful in certain cases

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Year of publication:	2012
Authors:	M., Aasif
Other Persons:	Deo, Malabika (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Indien \| India \| Aktienmarkt \| Stock market \| Schätzung \| Estimation \| Betafaktor \| Beta risk \| CAPM

Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Asset Pricing, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 5, 2012 erstellt
Classification:	G12 - Asset Pricing ; C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	ECONIS - Online Catalogue of the ZBW

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