Long memory vs. structural change in financial time series

Krämer, Walter; Sibbertsen, Philipp; Kleiber, Christian

Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77156

Title:

Long memory vs. structural change in financial time series

Authors:

Krämer, Walter
Sibbertsen, Philipp
Kleiber, Christian

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

Appears in Collections:

Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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