A UTILITY-BASED COMPARISON OF SOME MODELS OF EXCHANGE-RATE VOLATILITY
成果类型：
Article
署名作者：
WEST, KD; EDISON, HJ; CHO, D
署名单位：
Federal Reserve System - USA; Texas A&M University System; Texas A&M University College Station
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(93)90003-G
发表日期：
1993
页码：
23-45
关键词：
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 non-parametric models for the conditional variance of each exchange rate, GARCH models tend to produce the highest utility, on average. A mean squared error criterion also favors GARCH, but not as sharply.