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Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series

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  • Krämer Walter

    (Universität Dortmund, Fachbereich Statistik, Institut für Wirtschafts- und Sozialstatistik, D-44221 Dortmund)

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.

Suggested Citation

  • Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    • Handle: RePEc:jns:jbstat:v:222:y:2002:i:2:p:210-229
    DOI: 10.1515/jbnst-2002-0204
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    References listed on IDEAS

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