FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES
作者： John T. Barkoulas , Christopher F. Baum
DOI: 10.1111/J.1475-6803.1997.TB00254.X
关键词:
摘要: Using the spectral regression method, we test for long-term stochastic memory in three- and six-month daily returns series of Eurocurrency deposits denominated major currencies. Significant evidence positive dependence is found several series. Compared with benchmark linear models, estimated fractional models result dramatic out-of-sample forecasting improvements over longer horizons German marks, Swiss francs, Japanese yen.
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