Wavelet-based beta estimation and Japanese industrial stock prices

被引：18
|
作者：
Yamada, H [1 ]
机构：
[1] Hiroshima Univ, Dept Econ, Higashihiroshima 7398528, Japan
来源：
APPLIED ECONOMICS LETTERS | 2005年 / 12卷 / 02期
关键词：
D O I：
10.1080/1350485042000307152
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper applies the multi-scale beta estimation approach based on wavelet analysis proposed in Gencay et al. (2002) to Japanese industrial stock prices. Betas are calculated based on the wavelet rough and smooth from the discrete wavelet transform (DWT) and it is argued that the conventional beta estimate is an 'average' of the wavelet-based beta estimates. Some empirical evidence is shown that implies that the multi-scale beta estimation approach is useful.
引用
收藏
页码：85 / 88
页数：4
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