dc.contributor.author | Uddin, Gazi Salah | |
dc.contributor.author | Yahya, Muhammad | |
dc.contributor.author | Bekiros, Stelios | |
dc.contributor.author | Jayasekera, Raanadeva | |
dc.contributor.author | Kling, Gerhard | |
dc.date.accessioned | 2022-11-09T13:55:50Z | |
dc.date.available | 2022-11-09T13:55:50Z | |
dc.date.created | 2021-12-02T15:37:03Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Annals of Operations Research. 2021, . | en_US |
dc.identifier.issn | 0254-5330 | |
dc.identifier.uri | https://hdl.handle.net/11250/3030980 | |
dc.description.abstract | It is well documented that the biopharmaceutical sector has exhibited weak financial returns,contributing to underinvestment. Innovations in the industry carry high risks; however, ananalysis of systematic risk and return compared to other asset classes is missing. This paperinvestigates the time–frequency interconnectedness between stocks in the biotech sector andten asset classes using daily cross-country data from 1995 to 2019. We capture investors’heterogeneous investment horizons by decomposing time series according to frequencies.Using a maximal overlap discrete wavelet transform (MODWT) and a dynamic conditionalcorrelation (DCC)-Student-t copula, diversification potentials are revealed, helping investorsto reap the benefits of investing in biotech. Our findings indicate that the underlying assetsexhibit nonlinear asymmetric be.havior that strengthens during periods of turmoil | en_US |
dc.language.iso | eng | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.subject | OR in medicine | en_US |
dc.subject | Biotech | en_US |
dc.subject | Risk management | en_US |
dc.subject | Time-varying copulas | en_US |
dc.subject | Wavelets | en_US |
dc.title | Systematic risk in the biopharmaceutical sector: a multiscale approach | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200 | en_US |
dc.source.pagenumber | 0 | en_US |
dc.source.journal | Annals of Operations Research | en_US |
dc.identifier.doi | 10.1007/s10479-021-04402-8 | |
dc.identifier.cristin | 1963648 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |