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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. Journal of Financial Econometrics 6 (4), pp. 459-495.

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Other URL: http://jfec.oxfordjournals.org/cgi/content/abstract/6/4/459


Abstract

This paper explores the implications of asset return predictability for long-term portfolio choice when return-forecasting variables are fractionally integrated. For important predictor variables, like the dividend-price ratio and nominal and real interest rates, we estimate orders of integration around 0.8. This leads to substantial increases of the estimated long-term risk of stocks, bonds, ...

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Item Type:Article
Date:2008
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1093/jjfinec/nbn010DOI
Classification:
NotationType
G11, C32Journal of Economics Literature Classification
Keywords:long-term portfolio choice, linear processes with fractional integration, term structure of risk
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Prof. Dr. Rolf Tschernig
Deposited On:09 Dec 2008 12:23
Last Modified:13 Mar 2014 10:34
Item ID:5133

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