Long memory in volatilities of German stock returns

被引：13

作者：

Sibbertsen P. ^{[1
]}

机构：

[1] Fachbereich Statistik, Universität Dortmund

来源：

Empirical Economics | 2004年 / 29卷 / 3期

关键词：

Log-periodogram estimation; Long memory; Volatilities;

D O I：

10.1007/s00181-003-0179-z

中图分类号：

学科分类号：

摘要：

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by applying a method using the difference of the classical log-periodogram regression estimator for the memory parameter and of the tapered periodogram based estimator. Both estimators give similar values for the memory parameter for each series and this indicates long memory. To support our findings we apply also a methodology using the sample variance and a wavelet based estimator to the data. Also these two methods show clear evidence of long-range dependence in the volatilities of German stock returns. © Springer-Verlag 2004.

引用

页码：477 / 488

页数：11

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