Fractional dynamics in Japanese financial time series
نویسندگان
چکیده
منابع مشابه
Fractional Dynamics in Japanese Financial Time Series
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 th...
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ژورنال
عنوان ژورنال: Pacific-Basin Finance Journal
سال: 1998
ISSN: 0927-538X
DOI: 10.1016/s0927-538x(97)00028-0