Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77156 
Year of Publication: 
2001
Series/Report no.: 
Technical Report No. 2001,37
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
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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