Contents -- 1. Methodology: Introduction to Wavelet Analysis -- 1.1 Introduction -- 1.2 Fourier Analysis and Spectral Analysis -- 1.2.1 Fourier analysis -- 1.2.2 Spectral analysis -- 1.2.3 Comparison between Fourier transform and wavelet transform -- 1.3 Wavelet Analysis -- 1.3.1 Continuous wavelet transform -- Scale of wavelets -- Shifting of wavelets -- 1.3.2 Discrete wavelet transform -- 1.3.3 Maximal overlap discrete wavelet transform -- 1.3.4 Boundary condition -- Periodic boundary -- Reflection boundary -- Brick wall condition -- 1.4 Wavelet Variance, Covariance and Correlation -- 1.4.1 Wavelet variance -- 1.4.2 Wavelet covariance and correlation -- 1.4.3 Cross wavelet covariance and correlation -- 1.5 Long Memory Estimation Using Wavelet Analysis -- 1.5.1 Definitions of long memory -- 1.5.2 Wavelet ordinary least square -- 1.5.3 Approximate maximum-likelihood estimation of the long memory parameter -- 1.5.4 Another estimation method of the long memory parameter -- 2. Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data -- 2.1 Introduction -- 2.2 Minimum Variance Hedge -- 2.3 Empirical Results -- 2.4 Concluding Remarks -- 3. Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach -- 3.1 Introduction -- 3.2 Data and Descriptive Statistics -- 3.3 Empirical Results -- 3.4 Concluding Remarks -- 4. Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis -- 4.1 Introduction -- 4.2 Data and Empirical Results -- 4.3 Summary and Concluding Remarks -- 5. Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis -- 5.1 Introduction -- 5.2 Data Description and Basic Statistics -- 5.3 Empirical Results -- 5.4 Concluding Remarks.

Appendix. The market values of sample companies as of 2002 -- 6. On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis -- 6.1 Introduction -- 6.2 Data and Basic Statistics -- 6.3 Empirical Results -- 6.3.1 Results from the traditional CAPM -- 6.3.2 Results using two risk factors: Excess market returns and SMB -- 6.3.3 Results using three factors: Excess market returns, SMB and HML -- 6.4 Concluding Remarks -- 7. Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run? -- 7.1 Introduction -- 7.2 Data and Basic Statistics -- 7.3 Empirical Results -- 7.3.1 Traditional CAPM context -- 7.3.2 Fama-French three factor model -- 7.3.3 Fama-French three-factor model augmented by the momentum factor -- 7.4 Conclusion -- 8. Multiscale Relationships Between Stock Returns and Inflations: International Evidence -- 8.1 Introduction -- 8.2 Research Methodologies -- 8.2.1 The multi-scale hedge ratio -- 8.2.2 The bootstrap approach -- 8.3 Data and Empirical Results -- 8.4 Summary and Concluding Remarks -- Appendix A. Data sources -- 9. Mutual Fund Performance and Investment Horizon -- 9.1 Introduction -- 9.2 Sharpe Ratio at Different Investment Horizons -- 9.3 Data and Empirical Results -- 9.3.1 Data -- 9.3.2 Rank correlation between investment horizons -- 9.3.3 Robustness of the findings -- 9.4 Concluding Remarks -- 10. A New Assessment of US Mutual Fund Returns Through a Multiscaling Approach -- 10.1 Introduction -- 10.2 Empirical Method -- 10.2.1 Multiscaling approach -- 10.2.2 The bootstrap approach -- 10.3 Data and Empirical Results -- 10.3.1 Estimation results for the three aggregate groups -- 10.3.2 Estimation results for individual mutual funds -- 10.4 Summary and Concluding Remarks -- References -- Index.