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Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
(2011-06)
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...
Time-Varying Beta Estimators in the Mexican Emerging Market
(2011)
This paper compares the performance of three different time-varying betas that have never
previously been compared: the rolling OLS estimator, a nonparametric estimator and an
estimator based on GARCH models. The study ...