Dai, L and Zhou, Peng  ORCID: https://orcid.org/0000-0002-4310-9474
2016.
Practice-oriented model selection in Forex market.
International Journal of Economics & Management Sciences
5
(6)
, 1000383.
10.4172/2162-6359.1000383
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Abstract
Most of the theoretical and empirical literatures are dedicated to selecting a more empirically sound model in economics and finance. When choosing from competing alternatives, the most popular criterion is econometric goodness of fit of models against structured data (cross-sectional, time-series and panel). It is the data that determines whether a theory is valid or not, but in many scenarios, structured data are not available or not precise measures of the reality. Therefore, this paper attempts to propose a complementary criterion in model selection in terms of investment practice—we are not trying to find an econometrically “true” model, but a practically useful model. A series of models are examined by the latest data in the FOREX market. Monetary CAPM turns out to be the “best” model for practical purpose.
| Item Type: | Article |
|---|---|
| Date Type: | Published Online |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Uncontrolled Keywords: | Forex market; Model selection; Practice oriented criterion; Multivariate-Garch-in-Mean; Portfolio management |
| Publisher: | World Academy of Science, Engineering and Technology |
| ISSN: | 2162-6359 |
| Date of First Compliant Deposit: | 16 December 2016 |
| Date of Acceptance: | 17 November 2016 |
| Last Modified: | 05 May 2023 09:41 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/96961 |
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