Jan Budek

Maastricht University

P.O. Box 616

6200 MD Maastricht, 6200MD

Netherlands

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Scholarly Papers (1)

Long Memory and the Term Structure of Risk

Number of pages: 44 Posted: 21 Feb 2008
University of Regensburg - Department of Economics and Econometrics, Maastricht University and Maastricht University - Department of Finance
Downloads 161 (223,506)
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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
Maastricht University - Department of Finance, University of Regensburg - Department of Economics and Econometrics and Maastricht University

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