Roland Mestel

University of Graz

Professor

Institute of Banking and Finance

Universitaetsstrasse 15/F2

A-8010 Graz

Austria

  • University of Graz

    • Email
    • Tel: +43 316 380 7304
    • Fax: +43 316 380 9580
SCHOLARLY PAPERS

12

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Top 37,985

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14

CROSSREF CITATIONS

7

Scholarly Papers (12)

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1.

A Regime-Switching Relative Value Arbitrage Rule

Number of pages: 6 Posted: 10 Aug 2008
Michael Bock and Roland Mestel
University of Graz and University of Graz
Downloads 2,318 (10,247)
Citation 5

Abstract:

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statistical arbitrage, pairs trading, mean reversion, Markow regime switching,

2.

Cryptocurrency-Portfolios in a Mean-Variance Framework

Number of pages: 12 Posted: 27 Feb 2018
Alexander Brauneis and Roland Mestel
University of Klagenfurt and University of Graz
Downloads 690 (60,939)
Citation 8

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cryptocurrencies, portfolio optimization, Markowitz, naive diversification

3.

How to Measure the Liquidity of Cryptocurrencies?

Number of pages: 43 Posted: 01 Jan 2020 Last Revised: 08 Mar 2020
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 661 (64,433)
Citation 2

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cryptocurrencies, liquidity, horse race

4.

Bitcoin Exchange Rates: How Integrated are Markets?

Number of pages: 49 Posted: 07 Oct 2018 Last Revised: 03 Jul 2019
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 530 (85,080)
Citation 6

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Bitcoin, Cryptocurrencies, Market Integration, Liquidity, Bid-Ask Spread

5.

A High-Frequency Analysis of Bitcoin Markets

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 39 Posted: 31 Oct 2019
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 418 (113,049)
Citation 4

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6.

Mean-Variance Portfolio Optimization Based on Ordinal Information

Number of pages: 34 Posted: 25 Apr 2019 Last Revised: 23 Oct 2019
Cela Eranda, Stephan Hafner, Roland Mestel and Ulrich Pferschy
Graz University of Technology, University of Graz, University of Graz and University of Graz - Institute for Statistics and Operations Research
Downloads 180 (266,001)

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Return Estimation, Qualitative Views, Portfolio Optimization, Black-Litterman Model

7.

Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading

Downloads 150 (310,428)
Citation 1

Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 29 Posted: 14 Sep 2011
Alexander Brauneis, Michael Loretz, Roland Mestel and Stefan Palan
University of Klagenfurt, affiliation not provided to SSRN, University of Graz and University of Graz
Downloads 77 (498,491)
Citation 1

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Carbon price, price floor, technological change, investment decision, real option approach

Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading

FEEM Working Paper No. 74.2011
Number of pages: 34 Posted: 21 Nov 2011 Last Revised: 26 May 2014
Alexander Brauneis, Roland Mestel, Stefan Palan and Michael Loretz
University of Klagenfurt, University of Graz, University of Graz and University of Graz
Downloads 73 (514,178)
Citation 1

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carbon price, price floor, technological change, investment decision, real option approach

8.

An Event-Based Approach for Dynamic Volume Return Relationships of DAX Companies

Number of pages: 22 Posted: 08 Aug 2008
Roland Mestel and Alexander Brauneis
University of Graz and University of Klagenfurt
Downloads 123 (361,951)

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Volume-Return Relations, Event Study Methodology

9.

The Anatomy of a Fee Change - Evidence from Cryptocurrency Markets

Number of pages: 19 Posted: 25 Sep 2019
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 107 (400,044)
Citation 1

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cryptocurrencies, trading fees, market liquidity, maker-taker fees

10.

The Crypto World Trades at Tea Time. Intraday Evidence from Centralized Exchanges across the Globe

Number of pages: 37 Posted: 07 Feb 2023 Last Revised: 13 Apr 2023
Alexander Brauneis, Roland Mestel and Erik Theissen
University of Klagenfurt, University of Graz and University of Mannheim - Finance Area
Downloads 76 (496,664)

Abstract:

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cryptocurrencies, seasonalities, time of the day patterns, liquidity

11.

Price-Volume Relations of DAX Companies

Financial Markets and Portfolio Management, Vol. 21, No. 3, pp. 353-379, 2007
Posted: 11 Sep 2007
Henryk Gurgul, Pawel Majdosz and Roland Mestel
Independent, affiliation not provided to SSRN and University of Graz

Abstract:

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DAX companies, Stock returns, Trading volume, Contemporaneous and dynamic relations , Tail dependencies

12.

Stock Market Reactions to Dividend Announcements: Empirical Evidence from the Austrian Stock Market

Financial Markets and Portfolio Management, Vol. 17, No. 3, pp. 332-350, 2003
Posted: 12 Sep 2005
Christoph Schleicher, Henryk Gurgul and Roland Mestel
Bank of England, Independent and University of Graz

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