Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series

Walter Krämer

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2002, vol. 222, issue 2, 210-229

Abstract: 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.

Keywords: Financial econometrics; heavy tails; long memory; unit roots; Finanzzeitreihen; Effizienzmarkttests; langes Gedächtnis; Financial econometrics; heavy tails; long memory; unit roots (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:222:y:2002:i:2:p:210-229

DOI: 10.1515/jbnst-2002-0204

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