The statistical properties of daily foreign exchange rates: 1974-1983
Publication
, Journal Article
Hsieh, DA
Published in: Journal of International Economics
January 1, 1988
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.
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Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1988
Volume
24
Issue
1-2
Start / End Page
129 / 145
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Hsieh, D. A. (1988). The statistical properties of daily foreign exchange rates: 1974-1983. Journal of International Economics, 24(1–2), 129–145. https://doi.org/10.1016/0022-1996(88)90025-6
Hsieh, D. A. “The statistical properties of daily foreign exchange rates: 1974-1983.” Journal of International Economics 24, no. 1–2 (January 1, 1988): 129–45. https://doi.org/10.1016/0022-1996(88)90025-6.
Hsieh DA. The statistical properties of daily foreign exchange rates: 1974-1983. Journal of International Economics. 1988 Jan 1;24(1–2):129–45.
Hsieh, D. A. “The statistical properties of daily foreign exchange rates: 1974-1983.” Journal of International Economics, vol. 24, no. 1–2, Jan. 1988, pp. 129–45. Scopus, doi:10.1016/0022-1996(88)90025-6.
Hsieh DA. The statistical properties of daily foreign exchange rates: 1974-1983. Journal of International Economics. 1988 Jan 1;24(1–2):129–145.
Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1988
Volume
24
Issue
1-2
Start / End Page
129 / 145
Related Subject Headings
- Economics
- 3803 Economic theory
- 3802 Econometrics
- 3801 Applied economics
- 14 Economics