Long-memory in volatilities of German stock returns
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Date
2001
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Publisher
Universitätsbibliothek Dortmund
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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.
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Keywords
long-memory, volatilities, log-periodogram estimation