Exploring exchange rate returns at different time horizons

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.

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Year of publication:	2002
Authors:	Nekhili, Ramzi ; Altay-Salih, Aslihan ; Gençay, Ramazan
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 313.2002, 3, p. 671-682
Publisher:	Elsevier
Subject:	Exchange rate returns \| Continuous-time processes \| Time scales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010874783