To advance Betas for measuring systematic risk and reflect dynamic characteristic of the risk,the paper discusses four moments CAPM and wavelet analysis at the same time.
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- 为改进传统Beta系数测量系统风险的不足,反映系统风险的动态特征,讨论了四阶矩的资本资产定价模型(CAPM)并将小波分析引入到高阶矩CAPM研究中。