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dc.contributor.authorNekhili, R.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.contributor.authorGençay, R.en_US
dc.date.accessioned2016-02-08T10:32:15Z
dc.date.available2016-02-08T10:32:15Z
dc.date.issued2002en_US
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24638
dc.description.abstractThe 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.en_US
dc.language.isoEnglishen_US
dc.source.titlePhysica A: Statistical Mechanics and its Applicationsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/S0378-4371(02)00986-Xen_US
dc.subjectContinuous-time processesen_US
dc.subjectExchange rate returnsen_US
dc.subjectTime scalesen_US
dc.subjectComputer simulationen_US
dc.subjectRandom processesen_US
dc.subjectRisk managementen_US
dc.subjectStatistical methodsen_US
dc.subjectFinanceen_US
dc.titleExploring exchange rate returns at different time horizonsen_US
dc.typeArticleen_US
dc.departmentDepartment of Managementen_US
dc.citation.spage671en_US
dc.citation.epage682en_US
dc.citation.volumeNumber313en_US
dc.citation.issueNumber3-4en_US
dc.identifier.doi10.1016/S0378-4371(02)00986-Xen_US
dc.publisherElsevieren_US
dc.identifier.eissn1873-2119


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