In the multiscaling approach, a time series is decomposed into different time horizons referred to as timescales. In this article, we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

This paper investigates the association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling, a technique that decomposes a given return series into timescales enabling investigation at different return intervals. In...

This article presents an estimation and analysis of the Hurst exponent for Australian stocks using the wavelet technique. Consistent with Mulligan's (2004) study of US technology stocks, we find that the Hurst exponent varies over the cross-section of stocks. We also analyse Mulligan's (2004)...

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...