La mesure du ratio rendement-risque à partir du marché des euro-devises

Détails

ID Serval
serval:BIB_5A2FCABE1839
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
La mesure du ratio rendement-risque à partir du marché des euro-devises
Périodique
Finance
Auteur⸱e⸱s
Jondeau E.
ISSN
0752-6180
Statut éditorial
Publié
Date de publication
2000
Volume
21
Numéro
1
Pages
35-59
Langue
français
Résumé
In this paper, we study the reward-to-risk ratio, using monthly euro-dollar, euro-mark and euro-franc term structures between 1975 and 1997. We test the relationship between excess holding return and volatility in an ARCH-in-Mean framework. We first obtain that the conditional volatility displays a non-stationary pattern, that there is no asymmetric effects from shocks to volatility, and that the conditional density is well represented by a student's t distribution for the euro-dollar and by a GED for the euro-mark and the euro-franc. We then find that the best relation between excess return and risk is obtained when the risk is represented by the logarithm of the conditional volatility. Last the estimates of the reward-to-risk ratio are lower than to those obtained in previous empirical studies on stock returns but similar to those obtained on monetary and bond returns.
Création de la notice
19/11/2007 10:28
Dernière modification de la notice
20/08/2019 14:13
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