Systematic risk and time scales

A Wavelet Tour of Signal Processing

1999 • 16,854 citations

Ten lectures on wavelets

1992 • 15,909 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

Time‐Varying World Market Integration

1995 • 2,163 citations

Emerging equity market volatility

1997 • 1,707 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

Lectures on macroeconomics

1990 • 1,288 citations

The World Price of Covariance Risk

1991 • 1,115 citations

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

2002 • 1,105 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Asset Pricing at the Millennium

2000 • 701 citations

On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?

1998 • 451 citations

The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income

1998 • 367 citations

DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS

1998 • 319 citations

A New Empirical Perspective on the CAPM

1981 • 279 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

The relation between the return interval and betas

1989 • 252 citations

The contribution of wavelets to the analysis of economic and financial data

1999 • 232 citations

Scaling properties of foreign exchange volatility

2001 • 197 citations

The analysis of foreign exchange data using waveform dictionaries

1997 • 194 citations

Differentiating intraday seasonalities through wavelet multi-scaling

2001 • 169 citations

The Microstructure of Securities Markets

1986 • 133 citations

Why Beta Shifts as the Return Interval Changes

1983 • 95 citations

Sensitivity of Multivariate Tests of the Capital Asset‐Pricing Model to the Return Measurement Interval

1993 • 78 citations

Structural change and asset pricing in emerging markets

1998 • 77 citations

The impact of the return interval on the estimation of systematic risk

1997 • 59 citations

Testing the conditional CAPM and the effect of intervaling: A note

1997 • 30 citations

Compounding period length and the market model

1994 • 25 citations

Low and high frequency macroeconomic forces in asset pricing

1999 • 13 citations