Long memory vs. structural change in financial time series

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.

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Year of publication:	2001
Authors:	Krämer, Walter ; Sibbertsen, Philipp ; Kleiber, Christian
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2001,37
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982407