Wavelet based multi-scale analysis of financial time series has attracted much attention, lately, from both the academia and practitioners from all around the world. The unceasing metamorphosis of the discipline of finance from its humble beginning as applied economics to the more sophisticated...

The article studies the nature and direction of shock and volatility transmission among the nine non-overlapping sectoral indices of Bombay Stock Exchange (BSE) across eight different scales (from 2–4 days to 1–2 years) using a newly developed wavelet-based...