Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
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Publication:1600522
DOI10.1016/S0895-7177(01)00113-3zbMath1006.60011OpenAlexW3124780119MaRDI QIDQ1600522
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00113-3
Probability distributions: general theory (60E05) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (5)
Nonparametric inference of discretely sampled stable Lévy processes ⋮ Convoluted fractional Poisson process of order k ⋮ Time-changed Poisson processes of order k ⋮ Optimal design approach to GMM estimation of parameters based on empirical transforms ⋮ Realized Quantiles*
Uses Software
Cites Work
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