Roland Mestel

University of Graz

Professor

Institute of Banking and Finance

Universitaetsstrasse 15/F2

A-8010 Graz

Austria

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 16,632

SSRN RANKINGS

Top 16,632

in Total Papers Downloads

2,835

CITATIONS
Rank 40,526

SSRN RANKINGS

Top 40,526

in Total Papers Citations

8

Scholarly Papers (8)

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 2,039 (6,847)
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 304 (98,452)
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, Smith School of Business and University of Mannheim - Finance Area
Downloads 234 (129,038)
Citation 1

Abstract:

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

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 53 (379,526)

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 49 (393,328)
Citation 1

Abstract:

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

5.

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 102 (258,361)

Abstract:

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Volume-Return Relations, Event Study Methodology

6.

Mean-Variance Portfolio Optimization Based on Ordinal Information

Number of pages: 31 Posted: 25 Apr 2019
Graz University of Technology, University of Graz, University of Graz and University of Graz - Institute for Statistics and Operations Research
Downloads 54 (370,495)

Abstract:

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

7.

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

8.

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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