The tail index of exchange rate returns

K.G. Koedijk, M.M.A. Schafgans, C.G. de Vries

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)93-108
JournalJournal of International Economics
Volume29
Issue number1-2
DOIs
Publication statusPublished - 1990
Externally publishedYes

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