Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper we propose a new approach to estimating the systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the...