Exploring exchange rate returns at different time horizons

Ramzi Nekhili, Aslihan Salih and Ramazan Gencay

Physica A: Statistical Mechanics and its Applications, 2002, vol. 313, issue 3, 671-682

Abstract: This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at different frequencies, and show that the studied models do not fit the empirical distribution of exchange rate returns at both the high and low frequencies.

Keywords: Exchange rate returns; Continuous-time processes; Time scales (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037843710200986X
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:313:y:2002:i:3:p:671-682

DOI: 10.1016/S0378-4371(02)00986-X

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().