Exploring exchange rate returns at different time horizons
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol.313, no.3-4, pp.671-682, 2002 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 313 Issue: 3-4
- Publication Date: 2002
- Doi Number: 10.1016/s0378-4371(02)00986-x
- Journal Name: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Page Numbers: pp.671-682
- Keywords: exchange rate returns, continuous-time processes, time scales, VOLATILITY, MARKET
- Open Archive Collection: AVESIS Open Access Collection
- TED University Affiliated: No
Abstract
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.