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Long Memory and the Term Structure of Risk, working paper WP 06-009

Budek, Jan and Schotman, Peter and Tschernig, Rolf (2006) Long Memory and the Term Structure of Risk, working paper WP 06-009. Working Paper.

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Abstract

This paper focuses on the implications of asset return predictability on long-term portfolio choice when return forecasting variables exhibit long memory. Recent research in empirical finance argues that expected asset returns are time-varying and relates them to various predicting variables that historically reveal very gradual movements in time; hence, we aim at careful modelling of their ...

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Item Type:Monograph (Working Paper)
Date:24 February 2006
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Keywords:Long-term portfolio choice; Term structure of risk; Linear processes with fractional integration
Subjects:300 Social sciences > 330 Economics
Status:Published
Created at the University of Regensburg:Unknown
Owner: Prof. Dr. Rolf Tschernig
Deposited On:02 Aug 2006
Last Modified:13 Mar 2014 09:40
Item ID:216

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