Analysis of multi-scale systemic risk in Brazil's financial market

Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between...

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Bibliographic Details
Main Authors: Adriana Bruscato Bortoluzzo, Andrea Maria Accioly Fonseca Minardi, Bruno Caio Fernando Passos
Format: Article
Language:English
Published: Universidade de São Paulo 2014-06-01
Series:RAUSP: Revista de Administração da Universidade de São Paulo
Subjects:
valoración de acciones
relación riesgo y rendimiento
CAPM - modelo de valoración de activos de capital
wavelet
mercado de acciones brasileño
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003&lng=en&tlng=en

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http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003&lng=en&tlng=en

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