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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

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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.
Journal cover image

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