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Wavelet-based beta estimation and Japanese industrial stock prices

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  • Hiroshi Yamada

Abstract

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.

Suggested Citation

  • Hiroshi Yamada, 2005. "Wavelet-based beta estimation and Japanese industrial stock prices," Applied Economics Letters, Taylor & Francis Journals, vol. 12(2), pages 85-88.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:2:p:85-88
    DOI: 10.1080/1350485042000307152
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    Cited by:

    1. Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
    2. He, Kaijian & Lai, Kin Keung & Yen, Jerome, 2011. "Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach," Energy Economics, Elsevier, vol. 33(5), pages 903-911, September.

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