| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0128 |
| 来源ID | Technical Working Paper 0128 |
| A Utility Based Comparison of Some Models of Exchange Rate Volatility | |
| Kenneth D. West; Hali J. Edison; Dongchul Cho | |
| 发表日期 | 1992-11-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Economics ; International Finance ; Globalization and International Relations |
| URL | https://www.nber.org/papers/t0128 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561561 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West,Hali J. Edison,Dongchul Cho. A Utility Based Comparison of Some Models of Exchange Rate Volatility. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0128.pdf（2312KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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