Long Memory vs. Structural Change in Financial Time Series

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.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.identifier.uri	http://hdl.handle.net/2003/5267
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-3092
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
eldorado.dnb.deposit	true

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