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Mean-variance cointegration and the expectations hypothesis - MaRDI portal

Mean-variance cointegration and the expectations hypothesis (Q5247279)

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scientific article; zbMATH DE number 6429543
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English
Mean-variance cointegration and the expectations hypothesis
scientific article; zbMATH DE number 6429543

    Statements

    title
    Mean-variance cointegration and the expectations hypothesis (English)
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    author
    Till Strohsal
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    Enzo Weber
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    publication date
    23 April 2015
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    zbMATH Keywords
    cointegration
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    GARCH
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    persistence
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    expectations hypothesis
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    holding premium
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    cites work
    Q4727203
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    62P05
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    62M10
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    zbMATH DE Number
    6429543
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    OpenAlex ID
    W2021163631
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