Rolf Tschernig

University of Regensburg - Department of Economics and Econometrics

Universitaetsstrasse 31

D-93040 Regensburg

Germany

www.wiwi.uni-regensburg.de/tschernig

Maastricht University - Department of Quantitative Economics

P.O. Box 616

Maastricht, 6200 MD

Netherlands

www.personeel.unimaas.nl/r.tschernig

SCHOLARLY PAPERS

4

DOWNLOADS

161

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

Long Memory and the Term Structure of Risk

Number of pages: 44 Posted: 21 Feb 2008
Rolf Tschernig, Jan Budek and Peter C. Schotman
University of Regensburg - Department of Economics and Econometrics, Maastricht University and Maastricht University - Department of Finance
Downloads 161 (223,047)
Citation 2

Abstract:

Loading...

Long-term portfolio choice, Term structure of risk, Fractional integration, Long Memory

Long Memory and the Term Structure of Risk

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 459-495, 2008
Posted: 16 Oct 2008
Peter C. Schotman, Rolf Tschernig and Jan Budek
Maastricht University - Department of Finance, University of Regensburg - Department of Economics and Econometrics and Maastricht University

Abstract:

Loading...

G11, C32, long-term portfolio choice, linear processes with fractional integration, term structure of risk

2.

Tackling and Understanding the Small Sample Bias in ARFIMA Models

Posted: 14 Sep 1999
Rolf Tschernig
University of Regensburg - Department of Economics and Econometrics

Abstract:

Loading...

3.

Nonlinear Interest Rate Dynamics and Implications for the Term Structure

Posted: 07 Sep 1999
Gerard A. Pfann, Rolf Tschernig and Peter C. Schotman
Maastricht University, University of Regensburg - Department of Economics and Econometrics and Maastricht University - Department of Finance

Abstract:

Loading...

4.

Long Memory in Foreign Exchange Rates Revisited

J. OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, Vol. 5(2/3), 1995
Posted: 24 Jul 1998
Rolf Tschernig
University of Regensburg - Department of Economics and Econometrics

Abstract:

Loading...