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Roman MESTRE

Personal Details

First Name:Roman
Middle Name:
Last Name:Mestre
Suffix:
RePEc Short-ID:pme786
[This author has chosen not to make the email address public]

Affiliation

Montpellier Recherche en Économie (MRE)
Université de Montpellier

Montpellier, France
http://mre.edu.umontpellier.fr/
RePEc:edi:mrempfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Post-Print hal-04058285, HAL.
  2. Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," EconomiX Working Papers 2021-19, University of Paris Nanterre, EconomiX.
  3. Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐ CAPM and the CAPM with EGARCH errors," Post-Print hal-04058231, HAL.
  4. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print hal-03195190, HAL.
  5. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  6. Roman Mestre & Michel Terraza, 2019. "Time–frequency varying estimations: comparison of discrete and continuous wavelets in the market line framework," Post-Print hal-04058291, HAL.
  7. Roman Mestre & Michel Terraza, 2018. "Time-Frequency varying beta estimation - a continuous wavelets approach," Post-Print hal-03195193, HAL.
  8. MESTRE, Roman & Terraza, Michel, 2018. "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché - [Forward Regression with Discrete and Continuous Wavel," MPRA Paper 89682, University Library of Munich, Germany.
  9. Roman Mestre & Michel Terraza, 2018. "Time-Frequency Analysis of CAPM: Application to the CAC 40," Post-Print hal-03195177, HAL.
  10. MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 – [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper 86272, University Library of Munich, Germany.
  11. MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues- [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper 86335, University Library of Munich, Germany.
  12. MESTRE, Roman & TERRAZA, Michel, 2017. "Analyse Multidimensionnelle Temps-Fréquence du MEDAF [Multidimensional Time-Frequency Analysis Of The Capm]," MPRA Paper 86330, University Library of Munich, Germany.

Articles

  1. Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-29, December.
  2. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
  3. Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3588-3598, July.
  4. Roman Mestre & Michel Terraza, 2018. "Time-Frequency varying beta estimation -a continuous wavelets approach-," Economics Bulletin, AccessEcon, vol. 38(4), pages 1796-1810.
  5. Roman Mestre & Michel Terraza, 2018. "Time-Frequency Analysis of capm: Application to the cac 40," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 16(2 (Summer), pages 141-157.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐ CAPM and the CAPM with EGARCH errors," Post-Print hal-04058231, HAL.

    Cited by:

    1. Pankaj Agrrawal & Faye W. Gilbert & Jason Harkins, 2022. "Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?," JRFM, MDPI, vol. 15(11), pages 1-18, November.
    2. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.

  2. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print hal-03195190, HAL.

    Cited by:

    1. Fernando Vega-Gámez & Pablo J. Alonso-González, 2024. "How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-17, December.
    2. Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Post-Print hal-04058285, HAL.
    3. Majid Mirzaee Ghazani & Ali Akbar Momeni Malekshah & Reza Khosravi, 2024. "Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.

  3. Roman Mestre & Michel Terraza, 2019. "Time–frequency varying estimations: comparison of discrete and continuous wavelets in the market line framework," Post-Print hal-04058291, HAL.

    Cited by:

    1. Fernando Vega-Gámez & Pablo J. Alonso-González, 2024. "How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-17, December.

  4. Roman Mestre & Michel Terraza, 2018. "Time-Frequency varying beta estimation - a continuous wavelets approach," Post-Print hal-03195193, HAL.

    Cited by:

    1. Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," Working Papers hal-04159759, HAL.
    2. Pankaj Agrrawal & Faye W. Gilbert & Jason Harkins, 2022. "Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?," JRFM, MDPI, vol. 15(11), pages 1-18, November.
    3. MESTRE, Roman & Terraza, Michel, 2018. "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché - [Forward Regression with Discrete and Continuous Wavel," MPRA Paper 89682, University Library of Munich, Germany.
    4. Yang Mestre Zhou & Roman Mestre, 2024. "A continuous wavelets approach of China opening reforms effects on relationships between mainland Chinese stock exchanges and Hong Kong," Economics Bulletin, AccessEcon, vol. 44(1), pages 430-465.

  5. Roman Mestre & Michel Terraza, 2018. "Time-Frequency Analysis of CAPM: Application to the CAC 40," Post-Print hal-03195177, HAL.

    Cited by:

    1. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    2. Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," Working Papers hal-04159759, HAL.
    3. Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Post-Print hal-04058285, HAL.
    4. MESTRE, Roman & Terraza, Michel, 2018. "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché - [Forward Regression with Discrete and Continuous Wavel," MPRA Paper 89682, University Library of Munich, Germany.
    5. MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues- [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper 86335, University Library of Munich, Germany.
    6. Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3588-3598, July.
    7. Roman Mestre & Michel Terraza, 2018. "Time-Frequency varying beta estimation -a continuous wavelets approach-," Economics Bulletin, AccessEcon, vol. 38(4), pages 1796-1810.
    8. MESTRE, Roman & TERRAZA, Michel, 2017. "Analyse Multidimensionnelle Temps-Fréquence du MEDAF [Multidimensional Time-Frequency Analysis Of The Capm]," MPRA Paper 86330, University Library of Munich, Germany.
    9. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.

Articles

  1. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    See citations under working paper version above.
  2. Michel Terraza & Roman Mestre, 2021. "Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3588-3598, July.
    See citations under working paper version above.
  3. Roman Mestre & Michel Terraza, 2018. "Time-Frequency varying beta estimation -a continuous wavelets approach-," Economics Bulletin, AccessEcon, vol. 38(4), pages 1796-1810.
    See citations under working paper version above.
  4. Roman Mestre & Michel Terraza, 2018. "Time-Frequency Analysis of capm: Application to the cac 40," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 16(2 (Summer), pages 141-157.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (1) 2021-07-12. Author is listed
  2. NEP-EEC: European Economics (1) 2021-07-12. Author is listed
  3. NEP-ENE: Energy Economics (1) 2019-08-19. Author is listed
  4. NEP-MAC: Macroeconomics (1) 2021-07-12. Author is listed
  5. NEP-MON: Monetary Economics (1) 2021-07-12. Author is listed

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