Empirical Properties of Foreign Exchange Rates

Richard J Rogalski and Joseph D Vinso
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Richard J Rogalski: Darmouth College
Joseph D Vinso: University of Pennyslvania

Journal of International Business Studies, 1978, vol. 9, issue 2, 69-79

Abstract: This paper investigates the behavior of foreign exchange rates. Empirical tests indicate that the distribution of the underlying stochastic process for foreign exchange rate changes was stable paretion during fixed rate periods while a Student model provides a relatively better description on floating rates. These findings point to an important direction for further work on the appropriate distribution for foreign exchange rates and estimates of parameters.© 1978 JIBS. Journal of International Business Studies (1978)9, 69–79

Date: 1978
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