Key Features:This book covers the essence of wavelet analysis - such as the maximum overlap discrete wavelet transform, wavelet correlation, and variance - in a unified manner. It covers important topics in finance, such as portfolio asset allocation, asset pricing, hedging strategies, new risk...

This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin...