Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates

John Barkoulas and Christopher Baum

No 317., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We investigate the low frequency properties of three- and six- month rates for Eurocurrency deposits denominated in eight major currencies with specific emphasis on fractional dynamics. Using the fractional integration testing procedure suggested by Geweke and Porter-Hudak (1983), we find that several of the Eurocurrency deposit rates are fractionally integrated processes with long memory. These findings have important implications for econometric modeling, forecasting, and cointegration testing of Eurocurrency rates.

Keywords: Eurocurrency rates; fractional cointegration; long memory (search for similar items in EconPapers)
JEL-codes: C22 C52 E43 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1996-01-01
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Citations: View citations in EconPapers (6)

Published, Journal of Financial Research, Fall 1997.

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Related works:
Journal Article: FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:317

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