Mean-variance cointegration and the expectations hypothesis

DOI10.1080/14697688.2013.814974zbMath1402.91836OpenAlexW2021163631MaRDI 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

persistencecointegrationGARCHexpectations hypothesisholding premium

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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