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}
}
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 and marginal value at risk (VaR) of a portfolio. We apply our methodology to stock indices of seven emerging economies belonging to Latin America and Asia, the sample period 1990-2004. Our main conclusions are the following. First, the estimation results hinge upon the… CONTINUE READING

Figures and Tables from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 36 CITATIONS

Estimating market risk under a wavelet-based approach: Mexican case

  • 2009 2nd IEEE International Conference on Computer Science and Information Technology
  • 2009
VIEW 4 EXCERPTS
CITES BACKGROUND & METHODS
HIGHLY INFLUENCED

Multiscale Systematic Risk: an Application on the ISE-30

VIEW 6 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED

California's carbon market and energy prices: a wavelet analysis.

  • Philosophical transactions. Series A, Mathematical, physical, and engineering sciences
  • 2018
VIEW 2 EXCERPTS
CITES BACKGROUND

References

Publications referenced by this paper.
SHOWING 1-10 OF 20 REFERENCES