Statistische Besonderheiten von Finanzzeitreihen

The article discusses various statistical peculiarities such as heavy tails and volatility clustering which set financial time series apart from other time series in economics. It shows that these peculiarities affect the null distributions of various efficiency test. It also shows that stock prices of German chemical companies are fractionally cointegrated and that structural changes in conditional volatilities are easily mistaken for long memory.

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Year of publication:	2002
Authors:	Krämer, Walter
Published in:	Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). - Fachbereich Wirtschaftswissenschaften, ISSN 0021-4027. - Vol. 222.2002, 2, p. 210-229
Publisher:	Fachbereich Wirtschaftswissenschaften
Subject:	Finanzzeitreihen \| Effizienzmarkttests \| langes Gedächtnis

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008633373