Exploring exchange rate returns at different time horizons
| dc.citation.epage | 682 | en_US |
| dc.citation.issueNumber | 3-4 | en_US |
| dc.citation.spage | 671 | en_US |
| dc.citation.volumeNumber | 313 | en_US |
| dc.contributor.author | Nekhili, R. | en_US |
| dc.contributor.author | Altay-Salih, A. | en_US |
| dc.contributor.author | Gençay, R. | en_US |
| dc.date.accessioned | 2016-02-08T10:32:15Z | |
| dc.date.available | 2016-02-08T10:32:15Z | |
| dc.date.issued | 2002 | en_US |
| dc.department | Department of Management | en_US |
| dc.description.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. | en_US |
| dc.description.provenance | Made available in DSpace on 2016-02-08T10:32:15Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2002 | en |
| dc.identifier.doi | 10.1016/S0378-4371(02)00986-X | en_US |
| dc.identifier.eissn | 1873-2119 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.uri | http://hdl.handle.net/11693/24638 | |
| dc.language.iso | English | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/S0378-4371(02)00986-X | en_US |
| dc.source.title | Physica A: Statistical Mechanics and its Applications | en_US |
| dc.subject | Continuous-time processes | en_US |
| dc.subject | Exchange rate returns | en_US |
| dc.subject | Time scales | en_US |
| dc.subject | Computer simulation | en_US |
| dc.subject | Random processes | en_US |
| dc.subject | Risk management | en_US |
| dc.subject | Statistical methods | en_US |
| dc.subject | Finance | en_US |
| dc.title | Exploring exchange rate returns at different time horizons | en_US |
| dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- Exploring exchange rate returns at different time horizons.pdf
- Size:
- 169.46 KB
- Format:
- Adobe Portable Document Format
- Description:
- Full printable version