Auflistung GRK Antrag USE nach Autor/in "9f5fef3c-3fc5-4f99-8a30-34219c456a32"

Auflistung GRK Antrag USE nach Autor/in "9f5fef3c-3fc5-4f99-8a30-34219c456a32"

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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 ...
  • Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 
    Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the existence of fractional cointegration relations. The notion of fractional cointegration allows for ...
  • 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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