Long-memory in volatilities of German stock returns

dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:50:38Z
dc.date.available	2004-12-06T18:50:38Z
dc.date.issued	2001	de
dc.description.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.	en
dc.format.extent	266481 bytes
dc.format.extent	88528 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5259
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-14207
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	long-memory	en
dc.subject	volatilities	en
dc.subject	log-periodogram estimation	en
dc.subject.ddc	310	de
dc.title	Long-memory in volatilities of German stock returns	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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