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Applied Economics Letters Volume 12, 2005 - Issue 2
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Original Articles

Wavelet-based beta estimation and Japanese industrial stock prices

Hiroshi Yamada
Pages 85-88 | Published online: 16 Aug 2006

Citations (17)

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Read on this site (2)

Dulce Redin, Ignacio Rodriguez, Juncal Cuñado & Fernando Perez de Gracia. (2018) Oil prices and economic activity: evidence for G-7 economies based on a wavelet approach. Applied Economics Letters 25:5, pages 305-308.
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B. Dima, Ş.M. Dima & F. Barna. (2015) A wavelet analysis of capital markets’ integration in Latin America. Applied Economics 47:10, pages 1019-1036.
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Articles from other publishers (15)

Anouar Ben Mabrouk, Sabrine Arfaoui & Mohamed Essaied Hamrita. (2023) Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case. Quantitative Finance and Economics 7:2, pages 287-337.
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Tawfeeq M. Alanazi & Anouar Ben Mabrouk. (2022) Wavelet Time-Scale Modeling of Brand Sales and Prices. Applied Sciences 12:13, pages 6485.
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Mounir Sarraj & Anouar Ben Mabrouk. (2021) The Systematic Risk at the Crisis—A Multifractal Non-Uniform Wavelet Systematic Risk Estimation. Fractal and Fractional 5:4, pages 135.
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Anouar Ben Mabrouk. (2020) Wavelet-based systematic risk estimation: application on GCC stock markets: the Saudi Arabia case. Quantitative Finance and Economics 4:4, pages 542-595.
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Syed Jawad Hussain Shahzad, Peter Josef Stauvermann, Ronald Ravinesh Kumar & Tanveer Ahmad. (2017) The impact of terrorism on industry returns and systematic risk in Pakistan. Accounting Research Journal 30:4, pages 413-429.
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Malabika Deo & Aasif Shah. (2012) Scaling Properties of Systematic Risk: A New Evidence from Wavelet Analysis. Asia-Pacific Journal of Management Research and Innovation 8:3, pages 283-289.
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Shian-Chang Huang. (2011) Forecasting stock indices with wavelet domain kernel partial least square regressions. Applied Soft Computing 11:8, pages 5433-5443.
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Kaijian He, Kin Keung Lai & Jerome Yen. (2011) Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach. Energy Economics 33:5, pages 903-911.
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Shian-Chang Huang. (2011) Wavelet-based multi-resolution GARCH model for financial spillover effects. Mathematics and Computers in Simulation 81:11, pages 2529-2539.
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Shian-Chang Huang. (2011) Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting. Applied Mathematics and Computation 217:15, pages 6755-6764.
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Shian-Chang Huang & Tung-Kuang Wu. (2008) Integrating GA-based time-scale feature extractions with SVMs for stock index forecasting. Expert Systems with Applications 35:4, pages 2080-2088.
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Shian-Chang Huang & Tung-Kuang Wu. (2008) Forecasting stock indices with wavelet-based kernel partial least square regressions. Forecasting stock indices with wavelet-based kernel partial least square regressions.
Shian-Chang Huang & Tung-Kuang Wu. (2008) Combining wavelet-based feature extractions with relevance vector machines for stock index forecasting. Expert Systems 25:2, pages 133-149.
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Kin Keung Lai, Kaijian He & Jerome Yen. 2007. Computational Science – ICCS 2007. Computational Science – ICCS 2007 554 561 .
Shian-Chang Huang & Tung-Kuang Wu. (2006) Wavelet-Based Relevance Vector Machines for Stock Index Forecasting. Wavelet-Based Relevance Vector Machines for Stock Index Forecasting.

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