Mean-variance cointegration and the expectations hypothesis (English)
- New search for: Strohsal, Till
- New search for: Weber, Enzo
- New search for: Strohsal, Till
- New search for: Weber, Enzo
In:
Quantitative finance
;
14
, 11
;
1983-1997
;
2014
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ISSN:
- Article (Journal) / Print
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Title:Mean-variance cointegration and the expectations hypothesis
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Contributors:Strohsal, Till ( author ) / Weber, Enzo ( author )
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Published in:Quantitative finance ; 14, 11 ; 1983-1997
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Publisher:
- New search for: Taylor & Francis
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Publication date:2014-01-01
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Size:15 pages
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ISSN:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 332.015118
- Further information on Dewey Decimal Classification
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Classification:
DDC: 332.015118 -
Source:
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Table of contents – Volume 14, Issue 11
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1881
-
Pairs trading: optimal thresholds and profitabilityZeng, Zhengqin / Lee, Chi-Guhn et al. | 2014
- 1895
-
The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant TechnologiesDong, Xiaojing / McIntyre, Shelby H. et al. | 2014
- 1897
-
Calendar| 2014
- 1899
-
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new resultsLipton, Alexander / Gal, Andrey / Lasis, Andris et al. | 2014
- 1923
-
A chaos expansion approach under hybrid volatility modelsFunahashi, Hideharu et al. | 2014
- 1937
-
An almost Markovian LIBOR market model calibrated to caps and swaptionsGan, Junwu et al. | 2014
- 1961
-
An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functionsRodrigo, Marianito R. / Mamon, Rogemar S. et al. | 2014
- 1971
-
The pricing of basket-spread optionsLau, Chun-Sing / Lo, Chi-Fai et al. | 2014
- 1983
-
Mean-variance cointegration and the expectations hypothesisStrohsal, Till / Weber, Enzo et al. | 2014
- 1999
-
Correlations between stock returns and bond returns: income and substitution effectsHong, Gwangheon / Kim, Youngsoo / Lee, Bong-Soo et al. | 2014
- 2019
-
Cardinality versus q-norm constraints for index trackingFastrich, Björn / Paterlini, Sandra / Winker, Peter et al. | 2014
- 2033
-
Grey Relational Analysis and Neural Network Forecasting of REIT returnsChen, Jo-Hui / Chang, Ting-Tzu / Ho, Chao-Rung / Diaz, John Francis et al. | 2014
- 2045
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Portfolio choice with indivisible and illiquid housing assets: the case of SpainMayordomo, Sergio / Rodriguez-Moreno, Maria / Peña, Juan Ignacio et al. | 2014