Long-memory in volatilities of German stock returns

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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Year of publication:	2001
Authors:	Sibbertsen, Philipp
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Kapitalertrag \| Börsenkurs \| Volatilität \| Schätztheorie \| Deutschland \| Long-memory \| volatilities \| log-periodogram estimation

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Series:	Technical Report ; 2001,42
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	756645271 [GVK] hdl:10419/77155 [Handle] RePEc:zbw:sfb475:200142 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316498