Krämer, Walter and Sibbertsen, Philipp and Kleiber, Christian. (2002) Long memory vs. structural change in financial time series. Allgemeines Statistisches Archiv, Vol. 86. pp. 83-96.
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Official URL: http://edoc.unibas.ch/dok/A5252915
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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.
| Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Ökonometrie und Statistik (Kleiber) |
|---|---|
| UniBasel Contributors: | Kleiber, Christian |
| Item Type: | Article, refereed |
| Article Subtype: | Research Article |
| Publisher: | Physica-Verlag |
| ISSN: | 0002-6018 |
| Note: | Publication type according to Uni Basel Research Database: Journal article |
| Last Modified: | 11 Oct 2012 15:29 |
| Deposited On: | 22 Mar 2012 14:17 |
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