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A comparison of developed and emerging equity market return volatility at different time scales
14 references·0 citing·46 second hop
A comparison of developed and emerging equity market return volatility at different time scales (2011)A comparison of developed and emerging eq…Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets (2009)Systematic risk and time scal…Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns (2008)Wavelet timescales and condit…Characterizing World Market Integration through Time (2007)Characterizing World Market I…Long memory options: LM evidence and simulations (2006)Long memory options: LM evide…The CAPM and value at risk at different time-scales (2005)The CAPM and value at risk at…The relationship between stock returns and inflation: new evidence from wavelet analysis (2004)The relationship between stoc…Systematic risk and timescales (2003)Systematic risk and timescalesSystematic risk and time scales (2002)Systematic risk and time scal…Scaling properties of foreign exchange volatility (2001)Scaling properties of foreign…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Portfolio Composition and the Investment Horizon (1994)Portfolio Composition and the…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Asset returns and inflation (1977)STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis (2017)Multiscale features of extreme risk spillover networks among global stock markets (2022)The Variation of Certain Speculative Prices (1963)Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Multiscale systematic risk (2004)Wavelet analysis of stock returns and aggregate economic activity (2007)Using wavelets to decompose the time–frequency effects of monetary policy (2008)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Cross-Section of Expected Stock Returns (1992)International comovement of stock market returns: A wavelet analysis (2009)Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach (2017)Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach (2020)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging markets finance (2003)Global market integration: An alternative measure and its application☆ (2009)The Global Crisis and Equity Market Contagion (2014)072103 (E50, M20) Option pricing by Esscher transforms (1995)A test for independence based on the correlation dimension (1996)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The Distribution of Realized Exchange Rate Volatility (2001)Wavelet-based prediction of oil prices (2005)UNIT ROOT TESTS WITH WAVELETS (2010)Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis (2013)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
this work references cited by second hop

References

  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2007Characterizing World Market Integration through Time531 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series468 cited
  • 2001Scaling properties of foreign exchange volatility201 cited
  • 2004The relationship between stock returns and inflation: new evidence from wavelet analysis200 cited
  • 2003Systematic risk and timescales194 cited
  • 2005The CAPM and value at risk at different time-scales95 cited
  • 2009Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets79 cited
  • 2002Systematic risk and time scales76 cited
  • 1994Portfolio Composition and the Investment Horizon51 cited
  • 2008Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns30 cited
  • 2006Long memory options: LM evidence and simulations16 cited

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