alexa Abstract | A Wavelet Analysis for the Relationship between Financial Stress and the Equity Premium in US

Research & Reviews: Journal of Statistics and Mathematical Sciences
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Research Article Open Access

Abstract

This study investigates the empirical influence of financial stress on equity premium in the case of United States by using the wavelet transform framework. This new methodology enables the decomposition of timeseries at different time-frequencies. Generally, empirical results show strong evidence of significant linkage between financial stress on the stock markets. These findings confirm that financial stress is majority having the influence over equity premium in short run, but also for both medium and large time horizons.

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Author(s): Heni Boubaker*, Syed Ali Raza and Muhammad Ali

Keywords

Wavelet analysis, Wavelet coherence,Financial stress, Equity premium, United States, Biometrics ,Biostatistics, Behaviometrics, Combinatorics, Deformation, Geometry, Harmonic analysis, Algebra, Homotopical Algebra,Latin square, Lie theory, Lie Triple Systems, Loop Algebra,Representation theory, Symmetric Space, Topology, Quantum Group, Operad theory, Quasigroup

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