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3 edition of international CAPM and a wavelet-based decomposition of value at risk found in the catalog.

international CAPM and a wavelet-based decomposition of value at risk

Viviana FernaМЃndez

international CAPM and a wavelet-based decomposition of value at risk

by Viviana FernaМЃndez

  • 112 Want to read
  • 39 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Capital assets pricing model,
  • Stocks -- Latin America,
  • Stocks -- Asia,
  • Stocks -- Developing countries

  • Edition Notes

    Other titlesInternational capital assets pricing model and a wavelet-based decomposition of value at risk.
    StatementViviana Fernandez.
    SeriesNBER working paper series -- no. 12233., Working paper series (National Bureau of Economic Research) -- working paper no. 12233.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination26 p. :
    Number of Pages26
    ID Numbers
    Open LibraryOL17630126M
    OCLC/WorldCa69180041

    The International CAPM and a wavelet-based decomposition of Value at Risk. Studies of Nonlinear Dynamics &Econometrics 9(4), article 4. _____ The CAPM and value at risk at different time-scales. The International Review of Financial Analysis, (). We apply wavelet decomposition to decompose financial return series into a time frequency domain and assess the relevant frequencies for adequate daily Value-at-Risk (VaR) forecasts. Our results indicate that the frequencies that describe the short-run information of the underlying time series comprise the necessary information for daily VaR.

    The international CAPM and a wavelet-based decomposition of value at risk." (). The relationship between stock returns and inflation: new evidence from wavelet analysis.". Using wavelets we re-examine the U.S. stock market price index for any evidence of self-similarity or order that might be revealed at different scales. The wavelet transform localized in time can b.

    evidence in support of the CAPM at a medium–term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at the higher frequencies of the data. JEL: C22, G15 Keywords: wavelet analysis, CAPM, value at risk. Foundations of Finance: The Capital Asset Pricing Model (CAPM) 9 VI. The Risk-Return Tradeoff for Individual Stocks A. The CML specifies the expected return, ErC, for a given level of risk (σC) in our combined portfolios. All possible combined portfolios lie on the CML, and all .


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International CAPM and a wavelet-based decomposition of value at risk by Viviana FernaМЃndez Download PDF EPUB FB2

The International CAPM and a Wavelet-Based Decomposition of Value at Risk Article (PDF Available) in Studies in Nonlinear Dynamics & Econometrics 9(4) Author: Viviana Fernandez. The International CAPM and a Wavelet-Based Decomposition of Value at Risk Viviana Fernandez.

NBER Working Paper No. Issued in May NBER Program(s):Asset Pricing. In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate by: The international CAPM and a wavelet-based decomposition of value at risk. [Viviana Fernandez; National Bureau of Economic Research.] -- "In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk.

"The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol.

9(4), pagesDecember. Viviana Fernández, " The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de TrabajoCentro de Economía Aplicada, Universidad de Chile.

The International CAPM and a Wavelet-Based Decomposition of Value at Risk Viviana Fernandez NBER Working Paper No. May JEL No. C22, G15 ABSTRACT In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk.

In addition, we derive an analytical formula for. The International CAPM and a Wavelet-Based Decomposition of Value at Risk NBER Working Paper No. w Number of pages: 27 Posted: 04 Oct Last Revised: 03 Oct In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk.

In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. The international CAPM and a wavelet-based decomposition of value at risk. In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk.

In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a. The International CAPM and a Wavelet-Based Decomposition of Value at Risk∗ Viviana P.

Fernandez Abstract In this article, we formulate a time-scale decomposition of an international version of. BibTeX @MISC{Fernandez06nberworking, author = {Viviana Fernandez and Viviana Fernandez and Viviana Fernandez}, title = {NBER WORKING PAPER SERIES THE INTERNATIONAL CAPM AND A WAVELET- BASED DECOMPOSITION OF VALUE AT RISK}, year = {}}.

"The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pagesDecember. Viviana Fernandez, " The International CAPM and a wavelet-based decomposition of Value at Risk," The Institute for International Integration Studies Discussion Paper Series iiisdp, IIIS.

Value at Risk, Market Risk and Trading Activity: CAPM Model researches which are done by many scholars, and give opportunities to VaR build alternative CAPM model. JEL classification numbers: G12, G14 Keywords: Value-at-risk, asset pricing, size, liquidity, price-to-book value.

1 Introduction. The international capital asset pricing model (CAPM) is a financial model that extends the concept of the CAPM to international investments. The capital asset pricing model (CAPM) states that the risk premium of an individual asset equals its beta times the risk premium on the market portfolio.

Beta measures the degree of co-movement between the asset's return and the return on the market portfolio. In recent years, however, the CAPM has been questioned by several empirical studies. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon.

The International CAPM and a Wavelet-Based Decomposition of Value at Risk. The International CAPM and a Wavelet-Based Decomposition of Value at Risk. We study the value premium using the multiples‐based market‐to‐book decomposition of Rhodes‐Kropf, Robinson, and Viswanathan (). The market‐to‐value component drives all of the value strategy return, while the value‐to‐book component exhibits no return predictability in either portfolio sorts or firm‐level regressions.

Existing results linking market‐to‐book to. Loughran's () evidence for a weak value premium among large firms is special to toU.S. stocks, and the book‐to‐market value‐growth indicator. Ang and Chen's () evidence that the CAPM can explain U.S.

value premiums is special to to The CAPM's more general problem is that variation in β unrelated to size and. The International CAPM and a Wavelet-Based Decomposition of Value at Risk. Downloads (,) Citation 2 The International CAPM and a Wavelet-Based Decomposition of Value at Risk.

IIIS Discussion Paper No. 75 Number of pages: 29 Posted: 07 Aug Viviana Fernandez Adolfo Ibanez University Downloads 85 (,) View PDF; Download. In section 4 risk decomposition is de ned for value at risk in a generic simulation framework, i.e.

a framework that can be used both for Monte Carlo and historical simulations. The unstable components of value at risk can be replaced by more stable ones, as shown in section 5, by introducing the unbiased average value at risk.

In section 6 the. International Review of Financial Analysis,14, (2), View citations (14) The International CAPM and a Wavelet-Based Decomposition of Value at Risk Studies in Nonlinear Dynamics & Econometrics,9, (4), View citations (40) See also Working Paper () Time-Scale Decomposition of Price Transmission in International Markets.

Highlights We propose a novel approach to measuring market risk based on the continuous wavelet transform and derive the wavelet counterparts of well-known measures of risk. To illustrate the method we consider the emerging markets case over the last twenty years. We find noteworthy heterogeneity across frequencies and over time, which highlights the usefulness of the.

Future opportunities and risks play a large part in determining the value of a company. But looking at company valuation in practice, we can see that from the CAPM perspective a sound risk and opportunity analysis is not essential, as the beta factor is simply used as a measure of risk.

Part of the Lecture Notes in Computer Science book series (LNCS, volume ) The international CAPM and a wavelet-based decomposition of value at risk. Stud. Nonlinear Dyn. Econom. 9 () Google Scholar. 7. Fernandez, V.: The CAPM and value at risk at different time-scales.

International Review of Financial Analy – (