Authors: Kleiber, Christian
Krämer, Walter
Sibbertsen, Philipp
Title: Long Memory vs. Structural Change in Financial Time Series
Language (ISO): en
Abstract: The paper discusses structural change as possible mechanism that generates the appearance of long memory in economic time series. It shows that there are no long memory effects in German stock returns and that long memory in squares of German stock returns disappears once shifting means are properly accounted for.
URI: http://hdl.handle.net/2003/5267
http://dx.doi.org/10.17877/DE290R-3092
Issue Date: 2001
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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