Roland Füss

University of St. Gallen - School of Finance

Full professor

Rosenbergstrasse 52

St.Gallen, CH-9000

Switzerland

http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

SCHOLARLY PAPERS

42

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CITATIONS
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Top 13,514

in Total Papers Citations

28

Scholarly Papers (42)

Changing Risk Perception and the Time-Varying Price of Risk

Review of Finance, Vol. 20, No. 4, 2016.
Number of pages: 38 Posted: 10 Mar 2011 Last Revised: 03 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 755 (24,764)

Abstract:

Credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

Scattered Trust - Did the 2007-08 Financial Crisis Change Risk Perceptions?

CEPR Discussion Paper No. DP8714
Number of pages: 52 Posted: 22 Dec 2011
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 8 (517,003)
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Abstract:

ambiguity aversion, counterfactual analysis, credit spreads, quantile regression, structural models

Did the 2007-08 Financial Crisis Change Risk Perceptions?

University of St.Gallen, School of Finance Research Paper No. 171
Posted: 11 Jun 2012 Last Revised: 10 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School

Abstract:

credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

2.

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach

Journal of Financial and Quantitative Analysis (JFQA), Vol. 49, No. 3, 2014
Number of pages: 42 Posted: 11 Nov 2010 Last Revised: 08 Jun 2015
Zeno Adams, Roland Füss and Reint Gropp
University of St. Gallen, University of St. Gallen - School of Finance and Halle Institute for Economic Research
Downloads 621 (32,954)
Citation 3

Abstract:

Contagion, state-dependent sensitivity value-at-risk (SDSVaR), quantile

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Number of pages: 53 Posted: 24 Nov 2011 Last Revised: 29 Jun 2016
Zeno Adams, Roland Füss and Thorsten W. Glück
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 257 (94,815)

Abstract:

Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

University of St.Gallen, School of Finance Research Paper No. 2016/13
Number of pages: 60 Posted: 30 Jun 2016 Last Revised: 17 Feb 2017
Zeno Adams, Roland Füss and Thorsten W. Glück
University of St. Gallen, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 134 (174,480)

Abstract:

Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation

4.

Dynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets

Risk Management in Emerging Markets: Issues, Framework and Modeling (Sabri Boubaker, Bonnie G. Buchanan, and Duc Khuong Nguyen (eds.)), Forthcoming
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 04 Dec 2016
Roland Füss, Dieter G. Kaiser and Felix Schindler
University of St. Gallen - School of Finance, Robus Capital Management Limited and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 295 (78,918)

Abstract:

Emerging markets, Asia, Latin America, Eastern Europe, hedge funds, Johansen cointegration test, asset allocation, portfolio diversification

5.

The Impact of Macroeconomic Announcements on Implied Volatility

Applied Financial Economics, Vol. 21, No. 21, 2011
Number of pages: 27 Posted: 03 Nov 2010 Last Revised: 22 Mar 2016
University of St. Gallen - School of Finance, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, Deutsche Börse AG and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 285 (76,700)

Abstract:

Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements

6.

Testing the Predictability and Efficiency of Securitized Real Estate Markets

Journal of Real Estate Portfolio Management, Vol. 16, No. 2, pp. 159-179, 2010, ZEW - Centre for European Economic Research Discussion Paper No. 09-054
Number of pages: 39 Posted: 30 Oct 2009 Last Revised: 29 May 2013
Felix Schindler, Nico B. Rottke and Roland Füss
Steinbeis University Berlin - Center for Real Estate Studies, European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate and University of St. Gallen - School of Finance
Downloads 237 (98,110)
Citation 3

Abstract:

securitized real estate, weak-form market efficiency, random walk hypothesis, variance ratio tests, runs test, trading strategies

7.

A Jackknife-Type Estimator for Portfolio Revision

Journal of Banking and Finance, Vol. 43, No. 6, 2014
Number of pages: 49 Posted: 30 May 2011 Last Revised: 22 Mar 2016
Roland Füss, Felix Miebs and Fabian Trübenbach
University of St. Gallen - School of Finance, University of Applied Sciences Cologne and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 227 (102,827)

Abstract:

Portfolio optimization, Portfolio revision, Jackknife, Transaction costs

8.

Financial Crises, Price Discovery, and Information Transmission: A High-Frequency Perspective

EBS Business School Research Paper Series, Working Paper, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 02 Dec 2011 Last Revised: 10 Feb 2017
University of St. Gallen - School of Finance, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Duisburg-Essen and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 213 (115,486)

Abstract:

Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data

9.

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach

SAFE Working Paper No. 20
Number of pages: 49 Posted: 22 May 2013
Zeno Adams, Roland Füss and Reint Gropp
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and Halle Institute for Economic Research
Downloads 193 (107,017)
Citation 3

Abstract:

Risk spillovers, state-dependent sensitivity value-at-risk (SDSVaR), quantile regression, financial institutions, hedge funds

10.

Electricity Derivatives Pricing with Forward-Looking Information

Journal of Economic Dynamics and Control, 58, September, 34-57 (2015)
Number of pages: 57 Posted: 19 Feb 2013 Last Revised: 29 Mar 2016
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 188 (82,268)

Abstract:

Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations

11.

Correlated Risk and Volatility Spillovers across U.S. Regional Housing Markets

Number of pages: 32 Posted: 13 Sep 2009 Last Revised: 29 May 2013
Bing Zhu, Roland Füss and Nico B. Rottke
EBS Universität für Wirtschaft und Recht - EBS Business School, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate
Downloads 161 (141,633)

Abstract:

Spatial autocorrelation, volatility spillover effects, contagion, dynamic panel estimation, GARCH process

12.

Partisan Politics and Stock Market Performance: The Effect of Expected Government Partisanship on Stock Returns in the 2002 German Federal Election

Public Choice, Vol. 135, No. 3-4, pp. 131-150
Number of pages: 30 Posted: 28 Feb 2007 Last Revised: 29 May 2013
Roland Füss and Michael M. Bechtel
University of St. Gallen - School of Finance and Washington University in St. Louis
Downloads 156 (153,447)
Citation 10

Abstract:

Government partisanship, stock market performance, elections, GARCH modeling, political information, price formation

13.

The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity

Real Estate Economics, Forthcoming
Number of pages: 49 Posted: 03 Feb 2013 Last Revised: 30 Mar 2016
Zeno Adams, Roland Füss and Felix Schindler
University of St. Gallen, University of St. Gallen - School of Finance and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 139 (164,282)

Abstract:

REITs, fundamental value, geographic diversification, information diffusion, risk spillovers, state-dependent sensitivity VaR (SDSVaR)

14.

Corporate Transparency and Bond Liquidity

University of St.Gallen, School of Finance Working Paper No. 2014/4
Number of pages: 50 Posted: 10 Mar 2014
Falko Fecht, Roland Füss and Philipp B. Rindler
Frankfurt School of Finance & Management, University of St. Gallen - School of Finance and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 138 (149,391)
Citation 1

Abstract:

Corporate Bonds, Liquidity, Transparency, Information Quality, Financial Crises

15.

Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany

Journal of Money, Credit, and Banking, Vol. 42, No. 2-3, pp. 203-235, 2010
Number of pages: 43 Posted: 28 Feb 2007 Last Revised: 29 May 2013
Michael M. Bechtel and Roland Füss
Washington University in St. Louis and University of St. Gallen - School of Finance
Downloads 126 (177,203)
Citation 2

Abstract:

Government partisanship, stock market performance, industrial sectors, German federal elections, GARCH modeling, redistribution

16.

Electricity Spot and Derivatives Pricing When Markets are Interconnected

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 39 Posted: 13 Jan 2014 Last Revised: 17 Jun 2015
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 87 (175,000)
Citation 1

Abstract:

Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

17.

Electricity Market Coupling in Europe: Status Quo and Future Challenges

University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of pages: 36 Posted: 15 Oct 2014 Last Revised: 13 Mar 2017
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 73 (178,230)

Abstract:

Energy Market Coupling, Electricity Market Reforms, Explicit and Implicit Auction, Price Convergence

18.

On the Relationship Among Partisan Effects, Electoral Probability, and Economic Uncertainty

European Business School Research Paper No. 11-13
Posted: 06 Jul 2011 Last Revised: 04 Dec 2016
Roland Füss and Jana Lenz
University of St. Gallen - School of Finance and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

Abstract:

Partisan effects, U.S. presidential election, prediction markets, systematic risk, conditional and implied volatility, instrumental variable estimation

19.

When Investors Enjoy Less Policy Risk: Divided Government, Economic Policy Change, and Stock Market Volatility in Germany, 1970-2005

Swiss Political Science Review, Vol. 14, No. 2, pp. 287-314
Number of pages: 28 Posted: 16 Mar 2008 Last Revised: 29 May 2013
Michael M. Bechtel and Roland Füss
Washington University in St. Louis and University of St. Gallen - School of Finance
Downloads 56 (290,320)
Citation 3

Abstract:

Divided Government, Economic Policy, Financial Risk, Volatility, Stock Markets

20.

Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

University of St.Gallen, School of Finance Research Paper No. 2015/13
Number of pages: 55 Posted: 08 Sep 2015 Last Revised: 02 Apr 2017
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, NMBU School of Economics and Business and Norwegian University of Science and Technology (NTNU) - Department of Economics
Downloads 40 (178,230)

Abstract:

Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; commodity portfolio

21.

Something in the Air: Information Density, News Surprises, and Price Jumps

University of St. Gallen, School of Finance Research Paper No. 2015/17
Number of pages: 87 Posted: 04 Sep 2015 Last Revised: 27 Sep 2016
University of St. Gallen - School of Finance, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and University of Duisburg-Essen
Downloads 31 (216,457)

Abstract:

Information density, jump identification, macroeconomic announcements, noisy information, price discovery process

22.

A Regime‐Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors

Real Estate Economics, Vol. 40, Issue 2, pp. 317-350, 2012
Posted: 23 May 2012
Roland Füss, Michael Stein and Joachim Zietz
University of St. Gallen - School of Finance, University of Duisburg-Essen and EBS University, EBS Business School
Downloads 1 (531,735)
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Abstract:

Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets

Real Estate Economics, Vol. 41, Issue 1, pp. 29-64, 2013
Number of pages: 36 Posted: 26 Feb 2013
Bing Zhu, Roland Füss and Nico B. Rottke
EBS Universität für Wirtschaft und Recht - EBS Business School, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate
Downloads 1 (559,555)
Citation 2
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Abstract:

Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets

Real Estate Economics, Vol. 41, No. 1, 29-64.
Posted: 02 Sep 2011 Last Revised: 12 Oct 2013
Bing Zhu, Roland Füss and Nico B. Rottke
EBS Universität für Wirtschaft und Recht - EBS Business School, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate

Abstract:

Spatial autocorrelation, volatility spillover effects, contagion, dynamic panel estimation, GARCH process

24.

Best Land Use with Negative Externalities: Determining Land Values from Residential Rents

University of St.Gallen, School of Finance Research Paper No. 2017/05
Number of pages: 46 Posted: 04 Apr 2017
Roland Füss and Jan Koller
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 0 (475,188)

Abstract:

Apartment Rent, Land Use Regulation, Floor Area Ration (FAR), Land Pricers, Monocentric Structure

25.

Winning a Deal in Private Equity: Do Educational Networks Matter?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 34 Posted: 04 Jun 2016 Last Revised: 23 Mar 2017
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, University of Oxford - Said Business School and University of St. Gallen - School of Finance
Downloads 0 (302,796)

Abstract:

Private Equity, Buyout, Deal sourcing, Networks, Educational Tie, MBA

26.

The Economic Drivers of Differences in House Price Inflation Rate Across MSAs

Journal of Housing Economics, Vol. 31, No. 1, 2016
Number of pages: 47 Posted: 19 Jan 2016 Last Revised: 22 Mar 2016
Roland Füss and Joachim Zietz
University of St. Gallen - School of Finance and EBS University, EBS Business School
Downloads 0 (349,736)

Abstract:

house price inflation, demand and supply factors, federal funds rate, monetary policy

27.

The Role of Spatial and Temporal Structure for Residential Rent Predictions

University of St.Gallen, School of Finance Research Paper No. 2015/23
Number of pages: 44 Posted: 19 Nov 2015
Roland Füss and Jan Koller
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 0 (313,520)

Abstract:

Classification and Regression Tree (CART) Technique, Forecast Evaluation, Hedonic Pricing Model, Rental Prices, Spatiotemporal Autoregressive (STAR) Model

28.

Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets

University of St. Gallen, School of Finance Research Paper No. 2015/20
Number of pages: 50 Posted: 13 Oct 2015 Last Revised: 14 Feb 2017
Roland Füss and Daniel Ruf
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 0 (340,095)

Abstract:

Commercial real estate, cross-sectional dependence, opaque markets, spatial econometrics, market transparency

29.

The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity

Real Estate Economics, Vol. 43, Issue 1, pp. 67-100, 2015
Number of pages: 34 Posted: 17 Feb 2015
Zeno Adams, Roland Füss and Felix Schindler
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 0 (543,972)
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Abstract:

30.

The Sources of Risk Spillovers Among US REITs: Financial Characteristics and Regional Proximity

Real Estate Economics, Forthcoming
Posted: 02 Oct 2013 Last Revised: 05 Apr 2016
Zeno Adams, Roland Füss and Felix Schindler
University of St. Gallen, University of St. Gallen - School of Finance and Steinbeis University Berlin - Center for Real Estate Studies

Abstract:

REITs, fundamental value, geographic diversification, risk spillovers, state-dependent sensitivity VaR (SDSVaR)

31.

Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process

Journal of Real Estate Finance and Economics, Vol. 44, No. 4, 2012
Posted: 28 Mar 2012 Last Revised: 12 Oct 2013
Zeno Adams and Roland Füss
European Business School (EBS) and University of St. Gallen - School of Finance

Abstract:

Panel cointegration analysis, FMOLS regression, error correction model, urban rent models, German office market

32.

The Predictive Power of Anisotropic Spatial Correlation Modeling in Housing Prices

Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011
Posted: 09 Feb 2011
Bing Zhu, Roland Füss and Nico B. Rottke
EBS Universität für Wirtschaft und Recht - EBS Business School, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate

Abstract:

Spatial regression, Hedonic price model, Anisotropic spatial correlation, Simultaneous autoregressive model, Housing market

33.

What Drives CEOs to Take on More Risk? Some Evidence from the Laboratory of REITs

Journal of Applied Corporate Finance, Vol. 23, No. 1, pp. 80-94, 2011.
Posted: 28 Feb 2010 Last Revised: 29 May 2013
Roland Füss, Nico B. Rottke and Joachim Zietz
University of St. Gallen - School of Finance, European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate and EBS University, EBS Business School

Abstract:

Corporate governance, corporate performance, firm value, leverage, managerial ownership, REITs

34.

A Regime Switching Approach to Modeling Rental Prices of UK Real Estate Sectors

Real Estate Economics, Vol. 40, No. 1, 317-350.
Posted: 21 Dec 2009 Last Revised: 12 Oct 2013
Roland Füss, Michael Stein and Joachim Zietz
University of St. Gallen - School of Finance, University of Duisburg-Essen and EBS University, EBS Business School

Abstract:

Regime-switching, non-linear estimation, time-varying rental adjustment process, rental cycle, UK real estate market

35.

Modelling Smooth Transition (Auto)Regression in Rental Prices of U.K. Real Estate Sectors

Number of pages: 45 Posted: 22 Feb 2009
Roland Füss and Michael Stein
University of St. Gallen - School of Finance and University of Duisburg-Essen
Downloads 0 (210,600)

Abstract:

Smooth transition (auto) regression (STAR) models, non-linear estimation technique, (time-varying) rental adjustment process, rental cycle, UK real estate market

36.

Short and Long-term Interactions between Venture Capital Returns and the Macroeconomy: Evidence for the United States

Review of Quantitative Finance and Accounting, Vol. 38, No. 3, 391-410, 2012
Posted: 14 Feb 2009 Last Revised: 29 Mar 2016
Roland Füss and Denis Schweizer
University of St. Gallen - School of Finance and Concordia University

Abstract:

Venture capital investment, macro economy, cointegration test, VECM, Granger causality, variance decomposition

37.

Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?

Journal of Alternative Investments, Vol. 12, No. 2, pp. 41-53, 2009
Posted: 29 Aug 2008 Last Revised: 29 May 2013
University of St. Gallen - School of Finance, Robus Capital Management Limited and Albert-Ludwigs University of Freiburg

Abstract:

Quantile regression, funds of hedge funds, performance, asset under management, fund age, fund manager's experience

38.

Fixed Income Portfolio Allocation Including Hedge Fund Strategies: A Copula Opinion Pooling Approach

Journal of Fixed Income, Vol. 18, No. 4, 78-91.
Posted: 21 Aug 2008 Last Revised: 29 May 2013
Michael Stein, Roland Füss and Wolfgang Drobetz
University of Duisburg-Essen, University of St. Gallen - School of Finance and University of Hamburg

Abstract:

Fixed income portfolios, copula opinion pooling (COP) methodology, portfolio optimization, Monte Carlo simulations, hedge funds, robust Bayesian methods, non-normal return distributions, co-dependent markets, prior and posterior allocation

39.

Macroeconomic Determinants of International Housing Markets

Journal of Housing Economics, Vol. 19, No.1, pp. 38-50, 2010
Posted: 20 Aug 2008 Last Revised: 29 May 2013
Zeno Adams and Roland Füss
European Business School (EBS) and University of St. Gallen - School of Finance

Abstract:

Housing market, macroeconomy, panel cointegration, FMOLS, DOLS

40.

The Predictive Power of Value-at-Risk Models in Commodity Futures Markets

Journal of Asset Management, Vol. 11, No. 4, pp. 244 - 260, 2010
Posted: 20 Aug 2008 Last Revised: 29 May 2013
Roland Füss, Zeno Adams and Dieter G. Kaiser
University of St. Gallen - School of Finance, European Business School (EBS) and Robus Capital Management Limited

Abstract:

Commodities, risk management, value-at-risk (VaR), GARCH modelling, conditional autoregressive value-at-risk (CAViaR), quantile regression

41.

The Nature of Listed Real Estate Companies - Property or Equity Market?

Financial Markets and Portfolio Management, Vol. 22, No. 2, pp. 101-126, 2008
Posted: 25 Mar 2008
University of Freiburg - Department of Banking and Finance, University of Freiburg - Department of Banking and Finance and University of St. Gallen - School of Finance

Abstract:

private real estate, property companies, REITs, equity market, correlation structure, investment horizon, cointegration analysis, Johansen test, stock market

42.

The Tactical and Strategic Value of Hedge Fund Strategies: A Cointegration Approach

Financial Markets and Portfolio Management, Vol. 21, No. 1, pp. 425-444, 2007
Posted: 26 Nov 2007
Roland Füss and Dieter G. Kaiser
University of St. Gallen - School of Finance and Robus Capital Management Limited

Abstract:

Hedge fund strategies, Stock markets, Tactical and strategic asset allocation, Portfolio optimization, Multivariate cointegration analysis, Johansen test