Long Memory and the Term Structure of Risk
Article
Schotman, P. C., Tschernig, R. and Budek, J. (2008) Long Memory and the Term Structure of Risk. Journal of Financial Econometrics 6 (4), pp. 459-495.Alternative links to fulltext
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Details
| Item type | Article | ||||
| Journal or Publication Title | Journal of Financial Econometrics | ||||
| Publisher | OXFORD UNIV PRESS | ||||
| Place of Publication | OXFORD | ||||
| Volume | 6 | ||||
| Number of Issue or Book Chapter | 4 | ||||
| Page Range | pp. 459-495 | ||||
| Date | 2008 | ||||
| Date of publication | 19 Dec 2024 13:14 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig) | ||||
| Identification Number |
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| Keywords | STOCK RETURN PREDICTABILITY; FRACTIONAL-INTEGRATION; VARIANCE DECOMPOSITION; RATIONAL BUBBLES; ASSET ALLOCATION; INTEREST-RATES; MODEL; PRICES; UNCERTAINTY; INFLATION; long-term portfolio choice; linear processes with fractional integration; term structure of risk | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 67880 |
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