Mean-Variance Cointegration and the Expectations Hypothesis
Year of publication: |
2011-02
|
---|---|
Authors: | Strohsal, Till ; Weber, Enzo |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Expectations Hypothesis | Holding Premium | Persistence | Cointegration | GARCH |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2011-007 34 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C32 - Time-Series Models |
Source: |
-
Mean-variance cointegration and the expectations hypothesis
Strohsal, Till, (2011)
-
Mean-Variance Cointegration and the Expectations Hypothesis
Strohsal, Till, (2010)
-
Risk and Policy Shocks on the US Term Structure
Weber, Enzo, (2010)
- More ...
-
Strohsal, Till, (2012)
-
Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis
Strohsal, Till, (2015)
-
Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion
Strohsal, Till, (2013)
- More ...