A time-scale analysis of systematic risk: wavelet-based approach

摘要: The paper studies the impact of different time-scales on market risk individual stock returns and of a given portfolio in Paris Stock Market by applying wavelet analysis. To investigate scaling properties of stock lead/lag relationship between them at scales, variance crosscorrelations analyses are used. According to variance, exhibit long memory dynamics. The wavelet cross-correlation analysis shows that comovements stronger higher scales (lower frequencies); scales corresponding period 4 months longer, i.e. 7 8. systematic all assets diversified have a multi-scale behavior, which indicates measured Beta model is not stable over time. VaR time more concentrated frequencies dynamics (lower time scales) data.