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My bibliography Save this paperMean-Variance Cointegration and the Expectations Hypothesis
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- Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
- Till Strohsal & Enzo Weber, 2011. "Mean-Variance Cointegration and the Expectations Hypothesis," SFB 649 Discussion Papers SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
Keywords
Expectations Hypothesis; Holding Premium; Persistence; Cointegration; GARCH;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2010-07-24 (Financial Markets)
- NEP-MAC-2010-07-24 (Macroeconomics)
- NEP-MON-2010-07-24 (Monetary Economics)
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