FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES

Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates

Using the spectral regression method, we test for long-term stochastic memory in threeand six-month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long-term dependence is found in several Eurocurrency returns series. Compared to benchmark linear models, the estimated fractional models result in dramatic out-of-sample forecasting i...

Long Memory and Forecasting in Euroyen Deposit Rates

We test for long memory in 3and 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. Sig...

Modeling and forecasting duration-dependent mortality rates

Mortality data of disabled individuals are studied and parametric modeling approaches for the force of mortality are discussed. Empirical observations show that the duration since disablement has a strong effect on mortality rates. In order to incorporate duration effects, different generalizations of the Lee–Carter model are proposed. For each proposed model, uniqueness properties and fitting ...

2.9 Long Memory models and Fractional Differencing

Recent statistical literature has concerned with a study of long memory models which go beyond the presence of random walks and unit roots in the univariate time series processes. Following Mandelbrot and Van Ness (1968) fractional Brownian motion has been applied to “strongly dependent" geophysical phenomenon, McLeod and Hipel (1978). The objectives are threefold: (1) Explicitly account for pe...

Nonlinearity In Exchange Rates and Forecasting