Mean-variance cointegration and the expectations hypothesis

DOI10.1080/14697688.2013.814974zbMath1402.91836MaRDI QIDQ5247279

Enzo Weber, Till Strohsal

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4949

zbMATH Keywords

persistence; cointegration; GARCH; expectations hypothesis; holding premium

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

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