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Long Memory and the Term Structure of Risk

URN to cite this document:
urn:nbn:de:bvb:355-epub-51324
Schotman, Peter ; Tschernig, Rolf ; Budek, Jan
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Supplement to Long Memory and the Term Strukture of Risk: Some Monte Carlo Results on Semiparametric Long Memory Estimation,
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Date of publication of this fulltext: 05 Aug 2009 13:49


Abstract

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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