教師資料查詢 | 類別: 期刊論文 | 教師: 王凱立 KAI-LI WANG (瀏覽個人網頁)

標題:An Assessment of Empirical Model Performance When Financial Market Transactions are Observed at Different Data Frequencies: An Application to East Asian Exchange Rates
學年
學期
出版(發表)日期2002/09/01
作品名稱An Assessment of Empirical Model Performance When Financial Market Transactions are Observed at Different Data Frequencies: An Application to East Asian Exchange Rates
作品名稱(其他語言)
著者王凱立; Wang, Kai-li; Fawson, Chris; Barrett, Christopher B.
單位淡江大學國際貿易學系暨國際企業研究所
出版者
著錄名稱、卷期、頁數Review of Quantitative Finance and Accounting 19(2), pp.111-129
摘要This paper compares the performance of alternative models of east Asian exchange rates at different data frequencies. Selected models employ different specifications of the conditional variance and the conditional error distribution. Conditional variance specifications include: homoscedasticity, GARCH, LGARCH, and EGARCH. Conditional error distribution specifications include normal and Student t. The best exchange rate model specification is clearly conditional on data frequency. Higher frequency (daily, weekly) data commonly exhibit characteristics that demand more sophisticated estimation methods than analysts commonly employ. These characteristics generally vanish at lower (monthly, quarterly) frequencies. Overall we find significant benefit from accommodating heteroscedasticity and leptokurtic properties of the conditional distribution as data frequency increases. Using a likelihood ratio test we compare the relative gain from addressing heteroscedasticity (through use of GARCH models) versus accommodation of leptokurtosis. This comparison suggests that the gains from correct specification of the conditional distribution dominate those obtained from addressing problems of heteroscedasticity.
關鍵字exchange rates;data frequency;GARCH;distributions;leptokurtosis
語言英文
ISSN0924-865X
期刊性質國內
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產學合作
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審稿制度
國別中華民國
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