Go to content
UR Home

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

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

WarningThere is a more recent version of this item available.

Download (268kB)
Date of publication of this fulltext: 05 Aug 2009 13:22

Other URL: http://www.wiwi.uni-regensburg.de/tschernig/Mitarbeiter/tschernig/BudekSchotmanTschernig.pdf


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 ...


Export bibliographical data

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
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Item ID:216

Available versions of this item

Owner only: item control page


Downloads per month over past year

  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons