Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach ten...

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Bibliographic Details
Main Authors: Marcos Albuquerque Junior, José António Filipe, Paulo de Melo Jorge Neto, Cristiano da Costa da Silva
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Mathematics
Subjects:
wavelet
industry factors
country factors
value at risk
co-movements
coherency
Online Access:https://www.mdpi.com/2227-7390/9/5/504

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