| Titre | Volatilité conditionnelle, signaux d'échange et perception du risque | |
|---|---|---|
| Auteur | Barbara Pacini, Giampiero M. Gallo | |
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Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | SME et crises de change |
|
| Page | 207-220 | |
| Résumé anglais |
Conditional Volatility, Trading Signals and Risk Perception by Giampiero M. Gallo and Barbara Pacini
In this paper, we study the role of a conditional volatility term in modeling the presence of risk in the relationship between monthly spot and forward rates. We comment on the disappointing performance of the Garch-M model when used to study this relationship. This performance is due mainly to the high degree of persistence implied by the parametric estimation. In our view, a more flexible formulation should be adopted to model the risk premium and a distinction should be made between the alternating periods of weakness (when the risk premium is positive) and strength (when the risk premium is negative and becomes a risk discount). Taking three currencies against the deutschemark (French franc, Italian lira and pound sterling), we suggest a semiparametric estimator of the relationship, adopting a nonparametric measure of the conditional volatility. This enables us to consider the currency purchase and sale signals derived from technical analysis filters. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1996_num_123_2_5799 |
