Financial volatility and independent and identically distributed variables

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002.

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Year of publication:	2005
Authors:	Figueiredo, Annibal ; Gleria, Iram ; Matsushita, Raul ; Da Silva, Sergio
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 346.2005, 3, p. 484-498
Publisher:	Elsevier
Subject:	Financial volatility \| Central limit theorem \| Independent and identically distributed variables \| Exchange rates

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

Persistent link: https://www.econbiz.de/10010589378