The tail index of exchange rate returns
Journal of International Economics p. 93- 108
In the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat-tailed. Three problems, however, persist: (1) Which class of distribution functions is most appropriate? (2) Are the parameters of the distribution invariant over subperiods? (3) What are the effects of aggregation over time on the distribution? In this paper we employ extreme value theory to shed new light on these questions. We apply the theoretical results to EMS data.
|EMS, exchange rates, tail index|
|Journal of International Economics|
|Organisation||Erasmus School of Economics|
Koedijk, C.G, Schafgans, M, & de Vries, C.G. (1990). The tail index of exchange rate returns. Journal of International Economics, 93–108. doi:10.1016/0022-1996(90)90065-T