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.

MoreLess

Year of publication:	2007-07-03
Authors:	Figueiredo, Annibal ; Matsushita, Raul ; Da Silva, Sergio ; Serva, Maurizio ; Viswanathan, Gandhi ; Nascimento, Cesar ; Gleria, Iram

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Figueiredo, Annibal and Matsushita, Raul and Da Silva, Sergio and Serva, Maurizio and Viswanathan, Gandhi and Nascimento, Cesar and Gleria, Iram (2007): The Levy sections theorem: an application to econophysics.
Classification:	C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015231498