Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77155
Authors: 
Sibbertsen, Philipp
Year of Publication: 
2001
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2001,42
Abstract: 
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.
Subjects: 
Long-memory
volatilities
log-periodogram estimation
Document Type: 
Working Paper

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