Long memory vs. structural change in financial time series
The paper discusses structural change as possible mechanism that generates the appearance of long memory in economic time series. It shows that there are no long memory effects in German stock returns and that long memory in squares of German stock returns disappears once shifting means are properly accounted for.
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- Goetzmann, William Nelson, 1993. "Patterns in Three Centuries of Stock Market Prices," The Journal of Business, University of Chicago Press, vol. 66(2), pages 249-270, April.
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- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
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- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
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