This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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517
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #308427 |
Title:
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Heavy-Tailed Behavior of High-Frequency Foreign Exchange Changes
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Author(s):
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Ece Oral*+
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Companies:
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Central Bank of the Republic of Turkey
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Address:
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Istiklal Cad. 10 Ulus, Ankara, 06100, Turkey
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Keywords:
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Stable distribution ;
Distribution functions ;
Parameter estimation ;
high-frequency data ;
Foreign exchange rates
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Abstract:
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Numerous techniques in finance rely deeply on the assumption that the random variables under investigation follow a Gaussian distribution. Yet, finance data often depart from the Gaussian model, in that their marginal distributions are fat-tailed. In the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are heavy-tailed. In the presence of heavy-tails it is natural to assume that the exchange rate returns are approximately governed by a stable distribution which has been used successfully for modeling stock returns and foreign exchange rates. This paper investigates the distribution of high intra-daily TRY/USD foreign exchange changes. Stable laws are fitted to empirical distributions. Empirical evidence supports that the distributions have tails much heavier than Gaussian distribution.
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