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Statistische Besonderheiten von Finanzmarktdaten

Krämer, Walter - 2000

Persistent link: https://www.econbiz.de/10001574290

Kointegration von Aktienkursen

Krämer, Walter - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 51 (1999) 10, pp. 915-936

Persistent link: https://www.econbiz.de/10001410214

Kointegration von Aktienkursen

Krämer, Walter - 1997

Persistent link: https://www.econbiz.de/10000656610

Fractional integration and the augmented dickey-fuller test

Krämer, Walter - 1997

Persistent link: https://www.econbiz.de/10010467732

Long memory with Markov-switching GARCH

Krämer, Walter (contributor) - 2006

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...

Persistent link: https://www.econbiz.de/10003385665