The tail index of exchange rate returns
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference18 articles.
1. The statistical distribution of exchange rates: Empirical evidence and economic implications;Boothe;Journal of International Economics,1987
2. Testing for bubbles, reflecting barriers and other anomalies;Diebold;Journal of Economic Dynamics and Control,1988
3. Empirical modeling of exchange rate dynamics;Diebold,1988
4. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations;Engle;Econometrica,1982
5. Parameter estimates for symmetric stable distributions;Fama;Journal of the American Statistical Association,1971
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