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 cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of...

Recent studies find that target firm returns are reduced following sovereign wealth fund (SWF) investment. Although risk is also reduced following SWF investment, they find that SWF investment is associated with a reduction in the compensation of risk.In this paper, weexamine the hypothesis that...