Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates
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 estimate 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.
Year of publication: |
1997
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Authors: | Barkoulas, John T ; Baum, Christopher F |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 20.1997, 3, p. 355-72
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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