The Levy sections theorem: an application to econophysics

We employ the Levy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We ﬁnd that the presence of fat tails can be related to the local volatility pattern of the series.

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Year of publication:	2007-07-03
Authors:	Figueiredo, Annibal ; Matsushita, Raul ; Da Silva, Sergio ; Serva, Maurizio ; Viswanathan, Gandhi ; Nascimento, Cesar ; Gleria, Iram
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005616961