A Utility-Based Comparison of Some Models of Exchange Rate Volatility
DC Field | Value | Language |
---|---|---|
dc.contributor.author | West, Kenneth D. | - |
dc.contributor.author | Edison, Hali J. | - |
dc.contributor.author | Cho, Dong Chul | - |
dc.date.available | 2018-12-06T04:48:48Z | - |
dc.date.created | 2018-02-01 | - |
dc.date.issued | 1993 | - |
dc.identifier.issn | 0022-1996 | - |
dc.identifier.uri | https://archives.kdischool.ac.kr/handle/11125/28950 | - |
dc.identifier.uri | 10.3386/t0128 | - |
dc.description.abstract | When 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.publisher | ELSEVIER SCIENCE BV | - |
dc.title | A Utility-Based Comparison of Some Models of Exchange Rate Volatility | - |
dc.type | Article | - |
dc.identifier.bibliographicCitation | JOURNAL OF INTERNATIONAL ECONOMICS, v.35, no.1-2, pp.23 - 45 | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | A1993LU60300002 | - |
dc.citation.endPage | 45 | - |
dc.citation.number | 1-2 | - |
dc.citation.startPage | 23 | - |
dc.citation.title | JOURNAL OF INTERNATIONAL ECONOMICS | - |
dc.citation.volume | 35 | - |
dc.contributor.affiliatedAuthor | Cho, Dong Chul | - |
dc.identifier.doi | 10.3386/t0128 | - |
dc.identifier.scopusid | 2-s2.0-38249000331 | - |
dc.identifier.url | http://www.nber.org/papers/t0128 | - |
Click the button and follow the links to connect to the full text. (KDI CL members only)
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.