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Krämer, Walter
Sibbertsen, Philipp
Kleiber, Christian
Year of Publication: 
Series/Report no.: 
Technical Report 2001,37
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.
Document Type: 
Working Paper
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