English, Article, Journal or magazine article edition: Fractional Dynamics in Japanese Financial Time Series John Barkoulas; Christopher F. Baum

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Bookmark: http://trove.nla.gov.au/version/74105
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Fractional Dynamics in Japanese Financial Time Series
Author
  • John Barkoulas
  • Christopher F. Baum
Physical Description
  • preprint
Notes
  • Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is established as a feature of the currency forward premia, Euroyen deposit rates, and Euroyen term premium series. The martingale model cannot be rejected for the spot, forward, and stock price series.
  • Time series, long memory, spectral regression, Gaussian semiparametric method
  • RePEc:boc:bocoec:334
Language
  • English
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