Long memory in volatilities of German stock returns

Empirical Economics

Volumn 29, Issue 3, 2004, Pages 477-488

  Sibbertsen, Philipp ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Log periodogram estimation; Long memory; Volatilities

Indexed keywords

MARKET CONDITIONS; PRICE DYNAMICS; STOCK MARKET;

CENTRAL EUROPE; EURASIA; EUROPE; GERMANY;

EID: 4644300439     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-003-0179-z     Document Type: Article

References (21)

1. Abry P, Veitch D (1998) Wavelet analysis of long-range-dependent traffic. IEEE Transactions on Information Theory 44:1-15
2. Baillie RT (1996) Long memory processes and fractional integration in econometrics. Journal of Econometrics 73:5-59
3. Baillie RT, Bollerslev T, Mikkelsen HO (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74:3-30
4. Beran J (1994) Statistics for long-memory processes. Chapman & Hall, London
5. Bollerslev T, Mikkelsen HO (1996) Modeling and pricing long memory in stock market volatility. Journal of Econometrics 73:151-184
6. Ding Z, Engle RF, Granger CWJ (1993) A long memory property of stock market returns and a new model. Journal of Empirical Finance 1:83-106
7. Geweke J, Porter-Hudak S (1983) The estimation and application of long-memory time series models. Journal of Time Series Analysis 4:221-237
8. Giraitis L, Kokoszka P, Leipus R (2001) Testing for long memory in the presence of a general trend. Journal of Applied Probability 38:1033-1054
9. Hurst HE (1951) Long-term Storage of Capacity of Reservoirs. Transactions of the American Society of Civil Engineers 116:770-799
10. Hurvich C, Deo R, Brodsky J (1998) The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis 19:19-46
11. Hurvich C, Deo R (1999) Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Journal of Time Series Analysis 20:331-341
12. Hurvich C, Ray B (1995) Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Journal of Time Series Analysis 16:17-42
13. Krämer W, Sibbertsen P (2002) Testing for structural change in the presence of long-memory. International Journal of Business and Economics 1:235-243
14. Krämer W, Sibbertsen P, Kleiber C (2002) Long-memory versus structural change in financial time series. Allgemeines Statistisches Archiv 86:83-96
15. Lobato IN, Savin NE (1998) Real and spurious long-memory properties of stock market data (with discussion and reply). Journal of Business and Economic Statistics 16:261-283
16. Percival DP, Walden AT (2000) Wavelet methods for time series analysis. Cambridge University Press, Cambridge
17. Sibbertsen P (2003a) Long-memory versus structural breaks: An overview. Statistical Papers (forthcoming)
18. Sibbertsen P (2003b) Log-periodogram estimation of the memory parameter of a long-memory process under trend. Statistics and Probability letters 61:261-268
19. Teverovsky V, Taqqu M (1997) Testing for long-range dependence in the presence of shifting means or a slowly declining trend, using a variance-type estimator. Journal of Time Series Analysis 18:279-304
20. Velasco C(1999) Non-stationary log-periodogram regression. Journal of Econometrics 91:325-371
21. Willinger W, Taqqu MS, Teverovsky V (1999) Stock market prices and long-range dependence. Finance and Stochastics 3:1-13