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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Long-memory \| volatilities \| log-periodogram estimation

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2001,42
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010955393