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 language | American English |
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Journal | Journal of Financial Research |
Volume | XX |
State | Published - 1997 |
Keywords
- Deposit rates
- Eurocurrency
- Factional differencing modeling
- Forecasting
DC Disciplines
- Finance