search query: @indexterm STATISTICAL METHODS / total: 745
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| Author: | Koedijk, K. G. Schafgans, M. Vries, C. G. de |
| Title: | The tail index of exchange rate returns |
| Journal: | Journal of International Economics
1990 : AUG, VOL. 29:1-2, p. 93-108 |
| Index terms: | EXCHANGE RATES FOREIGN EXCHANGE RATE OF RETURN STATISTICAL METHODS |
| Language: | eng |
| Abstract: | In the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat-tailed. Three problems, however, persist: 1. Which class of distribution functions is most appropriate? 2. Are the parameters of the distribution invariant over subperiods? 3. What are the effects of aggregation over time on the distribution? Extreme value theory is employed to shed new light on these questions. The theoretical results are applied then to statistical data. It was found that the direct estimation procedure used in this study constitutes an improvement over other methods which have been used previously. |
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