Details about Roman MESTRE

Access statistics for papers by Roman MESTRE.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pme786

Working Papers

2023

1. Stock profiling using time–frequency-varying systematic risk measure
   Post-Print, HAL
   See also Journal Article Stock profiling using time–frequency-varying systematic risk measure, Financial Innovation, Springer (2023) (2023)

2021

2. A wavelet approach of investing behaviors and their effects on risk exposures
   Post-Print, HAL View citations (1)
   See also Journal Article A wavelet approach of investing behaviors and their effects on risk exposures, Financial Innovation, Springer (2021) View citations (5) (2021)
3. Adjusted beta based on an empirical comparison of OLS ‐ CAPM and the CAPM with EGARCH errors
   Post-Print, HAL
   See also Journal Article Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2021) View citations (2) (2021)
4. Monetary Policy and Business Cycle Synchronization in Europe
   Working Papers, HAL
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2021)

2019

5. Time-Frequency Multi-Betas Model-An Application with Gold and Oil -
   Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke
6. Time–frequency varying estimations: comparison of discrete and continuous wavelets in the market line framework
   Post-Print, HAL View citations (1)

2018

7. Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -
   (Forward Regression with Discrete and Continuous Wavelets Time-Frequency Window -An application to the Market Line-)
   MPRA Paper, University Library of Munich, Germany
8. Time-Frequency Analysis of CAPM: Application to the CAC 40
   Post-Print, HAL View citations (3)
   See also Journal Article Time-Frequency Analysis of capm: Application to the cac 40, Managing Global Transitions, University of Primorska, Faculty of Management Koper (2018) View citations (10) (2018)
9. Time-Frequency varying beta estimation - a continuous wavelets approach
   Post-Print, HAL View citations (3)
   See also Journal Article Time-Frequency varying beta estimation -a continuous wavelets approach-, Economics Bulletin, AccessEcon (2018) View citations (4) (2018)

2017

10. Analyse Multidimensionnelle Temps-Fréquence du MEDAF
    (MULTIDIMENSIONAL TIME-FREQUENCY ANALYSIS OF THE CAPM)
    MPRA Paper, University Library of Munich, Germany
11. Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
    (Time-Frequency Analysis of CAPM- Application to the CAC 40-)
    MPRA Paper, University Library of Munich, Germany
12. Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
    (Time-Frequency varying Beta Estimation -A continuous wavelets approach-)
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. A continuous wavelets approach of China opening reforms effects on relationships between mainland Chinese stock exchanges and Hong Kong
   Economics Bulletin, 2024, 44, (1), 430 - 465

2023

2. Stock profiling using time–frequency-varying systematic risk measure
   Financial Innovation, 2023, 9, (1), 1-29
   See also Working Paper Stock profiling using time–frequency-varying systematic risk measure, Post-Print (2023) (2023)

2021

3. A wavelet approach of investing behaviors and their effects on risk exposures
   Financial Innovation, 2021, 7, (1), 1-37 View citations (5)
   See also Working Paper A wavelet approach of investing behaviors and their effects on risk exposures, Post-Print (2021) View citations (1) (2021)
4. Adjusted beta based on an empirical comparison of OLS ‐CAPM and the CAPM with EGARCH errors
   International Journal of Finance & Economics, 2021, 26, (3), 3588-3598 View citations (2)
   See also Working Paper Adjusted beta based on an empirical comparison of OLS ‐ CAPM and the CAPM with EGARCH errors, Post-Print (2021) (2021)

2018

5. Time-Frequency Analysis of capm: Application to the cac 40
   Managing Global Transitions, 2018, 16, (2 (Summer)), 141-157 View citations (10)
   See also Working Paper Time-Frequency Analysis of CAPM: Application to the CAC 40, Post-Print (2018) View citations (3) (2018)
6. Time-Frequency varying beta estimation -a continuous wavelets approach-
   Economics Bulletin, 2018, 38, (4), 1796-1810 View citations (4)
   See also Working Paper Time-Frequency varying beta estimation - a continuous wavelets approach, Post-Print (2018) View citations (3) (2018)