The International CAPM and a Wavelet-Based Decomposition of Value at Risk

@article{Fernndez2005TheIC,
  title={The International CAPM and a Wavelet-Based Decomposition of Value at Risk},
  author={V. Fern{\'a}ndez},
  journal={Studies in Nonlinear Dynamics & Econometrics},
  year={2005},
  volume={9}
}
  • V. Fernández
  • Published 2005
  • Economics
  • Studies in Nonlinear Dynamics & Econometrics
In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a portfolio. We apply our methodology to stock indices of seven emerging economies belonging to Latin America and Asia, for the sample period 1990-2004. Our main conclusions are the following. First, the estimation results hinge upon the… Expand
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