Long-memory in volatilities of German stock returns

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Date

2001

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Publisher

Universitätsbibliothek Dortmund

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

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