Sibbertsen, Philipp2004-12-062004-12-062001http://hdl.handle.net/2003/525910.17877/DE290R-14207We 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.enUniversitätsbibliothek Dortmundlong-memoryvolatilitieslog-periodogram estimation310report