Barkoulas, John T; Baum, Christopher F - In: Journal of Financial Research 20 (1997) 3, pp. 355-72
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...