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FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES

  • Published:1997-09 Issue:3 Volume:20 Page:355-372
  • ISSN:0270-2592
  • Container-title:Journal of Financial Research
  • language:en
  • Short-container-title:Journal of Financial Research

Author:

Barkoulas John T.1,Baum Christopher F.1

Affiliation:

1. Boston College

Publisher

Wiley

Subject

Finance,Accounting

Reference16 articles.

1. Bias in an estimator of the fractional difference parameter,;Agiakloglou;Journal of Time Series Analysis,1993

2. Long term dependence in stock returns,;Barkoulas;Economics Letters,1996

3. Barkoulas , J. T. W. C. Labys J. Onochie 1997 Long memory in futures prices Financial Review

4. Long memory in foreign-exchange rates;Cheung;Journal of Business and Economic Statistics,1993

5. Tests for fractional integration: A Monte Carlo investigation;Cheung;Journal of Time Series Analysis,1993

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