Fractional Dynamics in Japanese Financial Time Series

John Barkoulas and Christopher Baum

No 334., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: 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.

Keywords: Time series; long memory; spectral regression; Gaussian semiparametric method (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1996-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published, Pacific-Basin Finance Journal, 1998, 6:1-2, 115-124.

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Journal Article: Fractional dynamics in Japanese financial time series (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:334

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