Exploring exchange rate returns at different time horizons
Physica A: Statistical Mechanics and its Applications
671 - 682
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The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time scales were estimated and proceed with simulating the empirical distributions of exchange rate returns from selected candidate processes. Results showed that the empirical distribution of returns behaves differently at different frequencies.
Exchange rate returns