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Long Memory and the Term Structure of Risk

Schotman, Peter and Tschernig, Rolf and Budek, Jan (2008) Long Memory and the Term Structure of Risk. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 427, Working Paper.

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This paper explores the implications of asset return predictability on long-term portfolio choice when return forecasting variables exhibit long memory. We model long memory using the class of fractionally integrated time series models. Important predictor variables for U.S. data, like the dividend-price ratio and nominal and real interest rates, are non-stationary with orders of integration ...


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Item Type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Identification Number:
RePEc:bay:rdwiwi:5132RePEc Handle
Keywords:Long-term portfolio choice; Term structure of risk; Linear processes with fractional integration
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Deposited On:08 Dec 2008 16:49
Last Modified:10 Apr 2014 11:37
Item ID:5132

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