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

URN to cite this document:
urn:nbn:de:bvb:355-epub-2161
Budek, Jan ; Schotman, Peter ; Tschernig, Rolf
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Date of publication of this fulltext: 05 Aug 2009 13:22


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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