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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 ...
Conditional beta pricing models: A nonparametric approach
(2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ...
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 ...