Exploring exchange rate returns at different time horizons

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Nekhili R., Salih A., Gencay R.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.313, sa.3-4, ss.671-682, 2002 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 313 Sayı: 3-4
  • Basım Tarihi: 2002
  • Doi Numarası: 10.1016/s0378-4371(02)00986-x
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.671-682
  • Anahtar Kelimeler: exchange rate returns, continuous-time processes, time scales, VOLATILITY, MARKET
  • TED Üniversitesi Adresli: Hayır

Özet

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. (C) 2002 Elsevier Science B.V. All rights reserved.