Financial volatility and independent and identically distributed variables

被引：2

作者：

Figueiredo, A

Gleria, I

Matsushita, R

Da Silva, S ^{[1
]}

机构：

[1] Univ Fed Santa Catarina, Dept Econ, BR-88049970 Florianopolis, SC, Brazil

[2] Univ Brasilia, Dept Phys, BR-70910900 Brasilia, DF, Brazil

[3] Fed Univ Alagoas, Dept Phys, Maceio, AL, Brazil

[4] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 346卷 / 3-4期

关键词：

financial volatility; central limit theorem; independent and identically distributed variables; exchange rates;

D O I：

10.1016/j.physa.2004.07.043

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：484 / 498

页数：15

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DUGUE D, 1976, ELEMENTS ALEATOIRES, V3

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