Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates

John T. Barkoulas, Christopher F. Baum

Research output: Contribution to journalArticlepeer-review

33 Scopus citations

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.

Original languageAmerican English
JournalJournal of Financial Research
VolumeXX
StatePublished - 1997

Keywords

  • Deposit rates
  • Eurocurrency
  • Factional differencing modeling
  • Forecasting

DC Disciplines

  • Finance

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