A wavelet approach of investing behaviors and their effects on risk exposures
Abstract Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk a...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2021-04-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-021-00239-z |