The Levy sections theorem: an application to econophysics

Annibal Figueiredo, Raul Matsushita, Sergio Da Silva, Maurizio Serva, Gandhi Viswanathan, Cesar Nascimento and Iram Gleria

MPRA Paper from University Library of Munich, Germany

Abstract: We employ the Levy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.

JEL-codes: C49 (search for similar items in EconPapers)
Date: 2007-07-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3810

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