Long Memory vs. Structural Change in Financial Time Series

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DC Field	Value	Language
dc.contributor.author	Kleiber, Christian	de
dc.contributor.author	Krämer, Walter	de
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:50:46Z	-
dc.date.available	2004-12-06T18:50:46Z	-
dc.date.issued	2001	de
dc.identifier.uri	http://hdl.handle.net/2003/5267	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-3092	-
dc.description.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.	en
dc.format.extent	580250 bytes	-
dc.format.extent	649623 bytes	-
dc.format.mimetype	application/pdf	-
dc.format.mimetype	application/postscript	-
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject.ddc	310	de
dc.title	Long Memory vs. Structural Change in Financial Time Series	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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