Tail Estimates of East European Exchange Rates.
In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. The authors use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. They modify an existing tail-index estimator to take into account information in both tails. The results support the existence of finite second moments in exchange-rate returns. Implicitly, the sum-stable distribution is rejected.
Year of publication: |
1992
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Authors: | Koedijk, Kees G ; Kool, Clemens J M |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 10.1992, 1, p. 83-96
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Publisher: |
American Statistical Association |
Saved in:
Saved in favorites
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