haku: @author Estrada, J. / yhteensä: 6
viite: 4 / 6
Tekijä: | Estrada, J. |
Otsikko: | The temporal dimension of risk |
Lehti: | Quarterly Review of Economics and Finance
2000 : SUMMER, VOL. 40:2, p. 189-204 |
Asiasana: | Stock markets Risk Europe |
Kieli: | eng |
Tiivistelmä: | In case returns are stationary, the risk of an asset in any time frequency can be estimated from the risk of the asset in any other time frequency through a simple linear rescaling. Using recent data from 14 European securities markets, it is shown in this paper that investors that mistakenly assume stationarity are bound to underestimate the total and systematic risk of European stocks. |
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