Roland Mestel

University of Graz

Professor

Institute of Banking and Finance

Universitaetsstrasse 15/F2

A-8010 Graz

Austria

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 15,205

SSRN RANKINGS

Top 15,205

in Total Papers Downloads

4,094

SSRN CITATIONS
Rank 46,181

SSRN RANKINGS

Top 46,181

in Total Papers Citations

6

CROSSREF CITATIONS

9

Scholarly Papers (11)

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 2,179 (8,434)
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 512 (68,704)
Citation 1

Abstract:

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cryptocurrencies, portfolio optimization, Markowitz, naive diversification

3.

Bitcoin Exchange Rates: How Integrated are Markets?

Number of pages: 49 Posted: 07 Oct 2018 Last Revised: 03 Jul 2019
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 394 (93,817)
Citation 5

Abstract:

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

4.

How to Measure the Liquidity of Cryptocurrencies?

Number of pages: 43 Posted: 01 Jan 2020 Last Revised: 08 Mar 2020
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 364 (102,790)
Citation 2

Abstract:

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cryptocurrencies, liquidity, horse race

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
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 227 (168,013)
Citation 4

Abstract:

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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
Graz University of Technology, University of Graz, University of Graz and University of Graz - Institute for Statistics and Operations Research
Downloads 132 (268,272)

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

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
University of Klagenfurt, affiliation not provided to SSRN, University of Graz and University of Graz
Downloads 59 (447,398)
Citation 1

Abstract:

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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
University of Klagenfurt, University of Graz, University of Graz and University of Graz
Downloads 53 (470,718)
Citation 1

Abstract:

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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 106 (313,966)

Abstract:

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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
University of Klagenfurt, University of Graz, Queen's University - Smith School of Business and University of Mannheim - Finance Area
Downloads 68 (410,322)
Citation 1

Abstract:

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

10.

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

11.

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

Abstract:

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