Auflistung GRK Antrag USE nach Autor/in "cf77f57f-2797-4fc1-9154-3cdfe1ed5816"

Auflistung GRK Antrag USE nach Autor/in "cf77f57f-2797-4fc1-9154-3cdfe1ed5816"

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  • The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 
    Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be ...
  • The Memory of Beta Factors 
    Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors ...

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