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- Title
FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES.
- Authors
Barkoulas, John T.; Baum, Christopher F.
- Abstract
Using the spectral regression method, we test for long-term stochastic memory in three- and six-month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long-term dependence is found in several Eurocurrency returns series. Compared with benchmark linear models, the estimated fractional models result in dramatic out-of-sample forecasting improvements over longer horizons for the Eurocurrency deposits denominated in German marks, Swiss francs, and Japanese yen.
- Subjects
EUROCURRENCY market; FOREIGN exchange; NATIONAL currencies; STOCHASTIC analysis; MATHEMATICAL models; SWISS franc; MARK (German currency); CURRENCY options; REGRESSION analysis
- Publication
Journal of Financial Research, 1997, Vol 20, Issue 3, p355
- ISSN
0270-2592
- Publication type
Article
- DOI
10.1111/j.1475-6803.1997.tb00254.x