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...
Uloženo v:
| Vydáno v: | Revista de Administração - RAUSP |
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| Hlavní autoři: | , , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Universidade de São Paulo
2014
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| Témata: | |
| On-line přístup: | https://www.redalyc.org/articulo.oa?id=223431145003 |
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