Analysis of multi-scale systemic risk in Brazil’s financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique permits us to analyze the relationship bet...

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Bibliografiske detaljer
Udgivet i:Revista de Administração - RAUSP
Main Authors: Adriana Bruscato Bortoluzzo, Andrea Maria Accioly Fonseca Minardi, Bruno Caio Fernando Passos
Format: Artigo
Sprog:Inglês
Udgivet: Universidade de São Paulo 2014
Fag:
Administración y Contabilidad
risk
CAPM
Keywords
wavelets
return ratio
Online adgang:https://www.redalyc.org/articulo.oa?id=223431145003
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