search query: @author Barkoulas, J. T. / total: 2
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| Author: | Barkoulas, J. T. Baum, C. F. |
| Title: | Fractional differencing modeling and forecasting of Eurocurrency deposit rates |
| Journal: | Journal of Financial Research
1997 : Vol. 20:3, p. 355-372 |
| Index terms: | EUROCURRENCY MARKETS RETURN ON INVESTMENT REGRESSION ANALYSIS |
| Language: | eng |
| 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. |
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