Fractional Dynamics in Japanese Financial Time Series
Barkoulas, John, and Christopher Baum. “Fractional Dynamics in Japanese Financial Time Series”. Boston College Working Papers in Economics 334, 1996.
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.