On the Marginal Distribution of Trade Weighted Currency Indices

Simon Hurst and Eckhard Platen ()

No 8, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: In this paper we identify a distribution which suitably fits the marginal distribution for the daily log increments of trade weighted currency indices. By considering the class of symmetric generalised hyperbolic distributions for these increments the Student t distribution appears to be an excellent candidate. Further well-known asset price models are also studied.

Date: 1999-04-01
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