haku: @author Baum, C. F. / yhteensä: 3
viite: 3 / 3
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Tekijä: | Barkoulas, J. T. Baum, C. F. |
Otsikko: | Fractional differencing modeling and forecasting of Eurocurrency deposit rates |
Lehti: | Journal of Financial Research
1997 : Vol. 20:3, p. 355-372 |
Asiasana: | EUROCURRENCY MARKETS RETURN ON INVESTMENT REGRESSION ANALYSIS |
Kieli: | eng |
Tiivistelmä: | 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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