A wavelet-based assessment of market risk: The emerging markets case

Source
academic

A novel approach is proposed to measure market risk based on the mathematical technique of wavelets. Noteworthy heterogeneity across frequencies and time are found, highlighting the usefulness of the wavelet approach

Source
Bank of Portugal
Length of Resource
36 pages
Author
Antonio Rua, Luis C. Nunes
Date Published
Publication Type
paper
Resource Type
academic

ResourceID: 169831

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