지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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We employ a seminonparametric (SNP) methodology in characterizing the conditional density of the exchange rate changes. The model selection procedure based on the BIC is used by moving upward along an expansion path. We find the semiparametric AR(4)-GARCH(2,2) model for the KRW/USD returns and the semiparametric AR(1)-GARCH(2,2) model for the JPY/USD returns as the BIC preferred SNP models. Simulations from the BIC minimizing SNP models seem to appropriately mimic the actual data. The time dependent heterogeneity of the actual data is recognized by the simulations from the semiparametric AR-GARCH-type models and the nonlinear nonparametric AR-GARCH-type models. We show that it is important to take departures from the Gaussianity of the data into account in specifying conditional heterogeneity of the exchange rate returns process. We also provide evidence on the benefits from using the SNP models in estimating the conditional density function via simulations.
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참고문헌 (16)
참고문헌 신청
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev, T. / 1987 / A conditionally heteroskedastic time series model for speculative prices and rates of return / Review of Economics and Statistics 69 : 542 ~ 547
Bollerslev, T. / 2013 / Risk and return : Long-run relations, fractional cointegration, and return predictability / Journal of Financial Economics 108 : 409 ~ 424
Coppejans, M. / 2002 / Cross-validated SNP density estimates / Journal of Econometrics 110 : 27 ~ 65
Davidian, M. / 1993 / The nonlinear mixed effects model with a smooth random effects density / Biometrika 80 : 475 ~ 488
Bollerslev, T. / 1987 / A conditionally heteroskedastic time series model for speculative prices and rates of return / Review of Economics and Statistics 69 : 542 ~ 547
Bollerslev, T. / 2013 / Risk and return : Long-run relations, fractional cointegration, and return predictability / Journal of Financial Economics 108 : 409 ~ 424
Coppejans, M. / 2002 / Cross-validated SNP density estimates / Journal of Econometrics 110 : 27 ~ 65
Davidian, M. / 1993 / The nonlinear mixed effects model with a smooth random effects density / Biometrika 80 : 475 ~ 488
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