On the Marginal Distribution of Trade Weighted Currency Indices

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.

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Year of publication:	1999-04-01
Authors:	Hurst, S. ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School

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Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 8
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984470