Authors: | Sibbertsen, Philipp |
Title: | Long-memory in volatilities of German stock returns |
Language (ISO): | en |
Abstract: | We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both estimators give similar values for the memory parameter what indicates long-memory. |
Subject Headings: | long-memory volatilities log-periodogram estimation |
URI: | http://hdl.handle.net/2003/5259 http://dx.doi.org/10.17877/DE290R-14207 |
Issue Date: | 2001 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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42_01.pdf | DNB | 86.45 kB | Adobe PDF | View/Open |
tr42-01.ps | 260.24 kB | Postscript | View/Open |
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