The statistical properties of daily foreign exchange rates: 1974-1983

Published

Journal Article

This paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983. The main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution: that the data are independently drawn from a heavy tail distribution which remains fixed over time, and that the data come from distributions which vary over time. Evidence point to the rejection of the first hypothesis. Further investigations show that the rejection can be attributed to changing means and variances in the data, which can be described by a simple statistical model. © 1988.

Full Text

Duke Authors

Cited Authors

  • Hsieh, DA

Published Date

  • January 1, 1988

Published In

Volume / Issue

  • 24 / 1-2

Start / End Page

  • 129 - 145

International Standard Serial Number (ISSN)

  • 0022-1996

Digital Object Identifier (DOI)

  • 10.1016/0022-1996(88)90025-6

Citation Source

  • Scopus