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dc.contributor.authorSibbertsen, Philippde
dc.date.accessioned2004-12-06T18:50:38Z-
dc.date.available2004-12-06T18:50:38Z-
dc.date.issued2001de
dc.identifier.urihttp://hdl.handle.net/2003/5259-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14207-
dc.description.abstractWe 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.en
dc.format.extent266481 bytes-
dc.format.extent88528 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/postscript-
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subjectlong-memoryen
dc.subjectvolatilitiesen
dc.subjectlog-periodogram estimationen
dc.subject.ddc310de
dc.titleLong-memory in volatilities of German stock returnsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

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