A utility based comparison of some models of exchange rate volatility, Volume 39, Issue 10
Kenneth David West, Hali J. Edison, Dongchul Cho, Board of Governors of the Federal Reserve System (U.S.)
Board of Governors of the Federal Reserve System, 1993 - Business & Economics - 36 pages
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13 week additional appendix asymmetry autoregressions Autoregressive Conditional Heteroskedasticity basis points Bollerslev Conditional Heteroskedasticity conditional variance covariance matrix CRRA Diebold differences across models divide her wealth Dongchul Cho Edison Engle estimates of H exchange rate changes exchange rate data Exchange Rate Volatility expected utility exponential utility Federal Reserve Federal Reserve System Figure 2B Finance Discussion Papers five percent level fraction of wealth France GARCH models Germany homoskedastic model ig e2AR lelAR interest rate differential International Finance Discussion investment decisions Japan Kenneth mean absolute error mean squared error Models of Exchange Notes null p-value Plaza Accord positive semidefinite quadratic utility quarter of Table rankings relative risk aversion sample mean Schwert squared error criterion statistical suboptimal model Table 3 sample U.S. rate U.S. resident UK homo Utility Based Comparison utility based criterion utility based measure utility function variance-covariance matrix volatility models Wealth Sacrifice Weekly Horizon weekly rate Wt+1 zero