THE TAIL INDEX OF EXCHANGE-RATE RETURNS

被引：116

作者：

KOEDIJK, KG

SCHAFGANS, MMA

DEVRIES, CG

机构：

[1] WORLD BANK,WASHINGTON,DC 20433

[2] CATHOLIC UNIV LEUVEN,B-3000 LOUVAIN,BELGIUM

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1990年 / 29卷 / 1-2期

关键词：

D O I：

10.1016/0022-1996(90)90065-T

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. © 1990.

引用

页码：93 / 108

页数：16

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