Contents

A Utility-Based Comparison of Some Models of Exchange Rate Volatility

West, Kenneth D. / Edison, Hali J. / Cho, Dong Chul

DC Field Value Language
dc.contributor.authorWest, Kenneth D.-
dc.contributor.authorEdison, Hali J.-
dc.contributor.authorCho, Dong Chul-
dc.date.available2018-12-06T04:48:48Z-
dc.date.created2018-02-01-
dc.date.issued1993-
dc.identifier.issn0022-1996-
dc.identifier.urihttps://archives.kdischool.ac.kr/handle/11125/28950-
dc.identifier.uri10.3386/t0128-
dc.description.abstractWhen estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to estimate a utility based criterion, we use five bilateral weekly dollar exchange rates, 1973-1989, and the corresponding pair of Eurodeposit rates. Of homoskedastic, GARCH, autoregressive and nonpararnetric models for the conditional variance of each exchange rate, GARCI-J models tend to produce the highest utility, on average. A mean squared error criterion also favors GARCH, but not as sharply.-
dc.publisherELSEVIER SCIENCE BV-
dc.titleA Utility-Based Comparison of Some Models of Exchange Rate Volatility-
dc.typeArticle-
dc.identifier.bibliographicCitationJOURNAL OF INTERNATIONAL ECONOMICS, v.35, no.1-2, pp.23 - 45-
dc.description.journalClass1-
dc.description.isOpenAccessN-
dc.identifier.wosidA1993LU60300002-
dc.citation.endPage45-
dc.citation.number1-2-
dc.citation.startPage23-
dc.citation.titleJOURNAL OF INTERNATIONAL ECONOMICS-
dc.citation.volume35-
dc.contributor.affiliatedAuthorCho, Dong Chul-
dc.identifier.doi10.3386/t0128-
dc.identifier.scopusid2-s2.0-38249000331-
dc.identifier.urlhttp://www.nber.org/papers/t0128-
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