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.
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Volume (Year): 20 (1997)
Issue (Month): 3 (Fall)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Long Term Dependence in Stock Returns,"
Boston College Working Papers in Economics
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- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
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