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Introduction to Wavelet Theory in Finance, An: A Wavelet Multiscale Approach de Francis In

Introduction to Wavelet Theory in Finance, An: A Wavelet Multiscale Approach

Autor Francis In, Sangbae Kim
en Limba Engleză Hardback – 27 sep 2012
Provides a comprehensive application of wavelet analysis to financial markets, covering frontier issues in empirical finance and economics. After an overview of wavelet analysis, this book includes chapters that examine the various economic and financial topics and issues that stimulate academic and professional research.
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Specificații

ISBN-13: 9789814397834
ISBN-10: 9814397830
Pagini: 212
Ilustrații: black & white illustrations
Dimensiuni: 152 x 226 x 15 mm
Greutate: 0.48 kg
Editura: WORLD SCIENTIFIC

Cuprins

Introduction to Wavelet Analysis; The Multiscale Hedge Ratio between the Stock and Futures Markets; Modeling the International Links between the US Dollar, Euro, and Yen Interest Rate Swap Markets; Long Memory in LIBOR Rates and Volatilities; Cross-Listing and Transmission of the Pricing Information of Dual-Listed Stocks; On the Relation between Stock Returns and Risk Factors; Risk Factors and the Cross Section of Average Stock Returns in the Long Run; Multiscale Relations between Stock Returns and Inflation; Mutual Fund Performance and Investment Horizons; A New Assessment of US Mutual Fund Returns through a Multiscaling Approach.