http://hdl.handle.net/1765/12423
http://dx.doi.org/10.1016/0261-5606(92)90012-M
scopus: cited times
web of science: cited 28 times
http://dx.doi.org/10.1016/0261-5606(92)90012-M
scopus: cited times
web of science: cited 28 times
Differences between foreign exchange rate regimes: the view from the tails
January 1992
Article
pp 462-473.
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In the literature on the empirical unconditional distribution of foreign exchange rate returns there is indication that the type of distribution function is related to the form of exchange rate regime. The analysis has been hampered by the nonnestedness of alternative distribution models. The paper investigates the issue by means of extremal analysis which allows for a unified treatment. In particular, we try to sort out whether apparent distributional differences are due to differences in techniques or in regimes.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
Automatically Extracted Terms
- exchange
- distribution
- regime
- estimate
- index
- model
- exchange rate returns
- tail index
- value
- sample
- return
- exchange rate regimes
- estimator
- procedure
- order
- exchange rates
- akgiray
- study
- m .1. procedure
- simulation
