Nirei, Makoto; Sushko, Vladyslav - In: International Review of Economics & Finance 20 (2011) 1, pp. 110-127
Tails in the distribution of JPY/USD exchange rate returns are well approximated by an exponentially dampened power-law. Distribution parameter estimates indicate that yen appreciation jumps belong to a Levy process with unbounded variation, suggesting that same mechanism may be responsible for...