Li Dai and Peng Zhou
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.
Comparte este artículo
English 
Chinese 
Russian 
German 
French 
Japanese 
Portuguese 
Hindi 