Exploring exchange rate returns at different time horizons
Date
2002
Authors
Nekhili, R.
Altay-Salih, A.
Gençay, R.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Physica A: Statistical Mechanics and its Applications
Print ISSN
0378-4371
Electronic ISSN
1873-2119
Publisher
Elsevier
Volume
313
Issue
3-4
Pages
671 - 682
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
Abstract
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.