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
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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