The International CAPM and a Wavelet-Based Decomposition of Value at Risk
收藏NBER2006-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w12233
下载链接
链接失效反馈官方服务：
资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2006-05-01
