Empirical Support for Fundamental, Factor Models Explaining Major Capital Markets Using Wavelets-Reference-Cited by-同舟云学术

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Empirical Support for Fundamental, Factor Models Explaining Major Capital Markets Using Wavelets

Published:2018-10-03 Issue: Volume: Page:
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Container-title:Wavelet Theory and Its Applications
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Author:

Kiermeier Michaela M.

Publisher

InTech

Link

http://www.intechopen.com/download/pdf/59629

Reference24 articles.

1. Ross S. The arbitrage theory of capital asset pricing. Journal of Economic Theory. 1976;13:341-360. DOI: 10.1016/0022-0531(76)90046-6

2. Huang JZ, Kong W. Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indexes, NYU Stern School of Business, Department of Finance Working Paper Series FIN-03-013. 2003

3. Bekaert G, Engstrom E, Grenadier SR. Stock and bond returns with moody investors. Journal of Empirical Finance. 2010;17:867-894

4. Cutler DM, Poterba JM, Summers LH. Speculative dynamics and the role of feedback traders. American Economic Review. 1990;80:63-68

5. Ramsey JB, Lampart C. The Decomposition of Economic Relationships by Time Scale Using Wavelets. New York: New York University; 1996

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