The international CAPM and a wavelet-based decomposition of value at risk

Keyphrases

• Analytical Formula 20%
• Asia 20%
• Asset Pricing 20%
• Conditional Value at Risk 100%
• Emerging Economies 20%
• Exchange Rate Risk 20%
• Global Market 20%
• Heterogeneous Investors 20%
• International CAPM 100%
• Investment Horizon 20%
• Latin America (LATAM) 20%
• Marginal Value 20%
• Market Interest Rates 20%
• Market Portfolio 20%
• Potential Loss 20%
• Risk and Time 20%
• Stock Index 40%
• Stock Market 20%
• Time-scale Decomposition 20%
• Wavelet Basis 100%

INIS

• asia 16%
• assets 16%
• decomposition 100%
• economy 16%
• exchange rate 16%
• investment 16%
• latin america 16%
• losses 16%
• market 50%
• risks 100%
• stocks 50%
• values 100%

Economics, Econometrics and Finance

• Asset Pricing 50%
• CAPM 100%
• Emerging Country 50%
• Emerging Economies 50%
• Exchange Rate Risk 50%
• Investors 100%
• Stock Index 100%