English, Article, Journal or magazine article edition: Long Memory and Forecasting in Euroyen Deposit Rates John Barkoulas; Christopher F. Baum

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long Memory and Forecasting in Euroyen Deposit Rates
Author
  • John Barkoulas
  • Christopher F. Baum
Physical Description
  • preprint
Notes
  • We test for long memory in 3- and 6-month daily returns series on Eurocurrency deposits denominated in Japanese yen (Euroyen). The fractional differencing parameter is estimated using the spectral regression method. The conflicting evidence obtained from the application of tests against a unit root as well as tests against stationarity provides the motivation for testing for fractional roots. Significant evidence of positive long-range dependence is found in the Euroyen returns series. The estimated fractional models result in dramatic out-of-sample forecasting improvements over longer horizons compared to benchmark linear models, thus providing strong evidence against the martingale model. Series: Boston College Working Papers in Economics
  • long memory, ARFIMA processes, spectral regression, unit roots, forecasting
  • RePEc:boc:bocoec:361
Language
  • English
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