Wavelet-Based Beta Estimation: Applications to Indian Stock Market
Aasif Shah M.
Pondicherry University - Department of Commerce
April 5, 2012
Asset Pricing, Forthcoming
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach is useful in certain cases.
Number of Pages in PDF File: 10
Keywords: Beta, Wavelet
JEL Classification: G12, C49Accepted Paper Series
Date posted: July 15, 2012
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