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-]
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References listed on IDEAS
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More about this item
Keywords
CAPM; Continuous Wavelets ; Wavelets Coherence ; Time-Frequency varying Betas;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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