Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
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Publication:1600522
DOI10.1016/S0895-7177(01)00113-3zbMATH Open1006.60011OpenAlexW3124780119MaRDI QIDQ1600522FDOQ1600522
Authors: R. Smith 
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
Recommendations
- Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- Long range dependence in financial markets
- Exploring exchange rate returns at different time horizons
- The Distribution of Realized Exchange Rate Volatility
Probability distributions: general theory (60E05) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (5)
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