The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets

@inproceedings{Dacorogna1998TheDO,
  title={The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets},
  author={Michel M. Dacorogna and Ulrich Alfons M{\"u}ller and Olivier V. Pictet and Casper G. de Vries},
  year={1998}
}
This study is based on an exceptionally large and automatically ltered data set containing most of the quoted prices on Reuters over 7 years. We employ semi-parametric extremal analysis. A bias reduction is attained by bootstrapping on resamples. The empirical results demonstrate the existence of the unconditional second moment of the distribution but the non-convergence of the fourth moment. Studies of cross-rates among European Monetary System currencies show a smaller tail index indicating a… CONTINUE READING

Similar Papers

Citations

Publications citing this paper.
SHOWING 1-10 OF 18 CITATIONS

References

Publications referenced by this paper.
SHOWING 1-10 OF 35 REFERENCES

An Introduction to Probability Theory and Its Applications, volume II of Wiley Series in Probability and Mathematical Statistics

W. Feller
  • 1971
VIEW 2 EXCERPTS
HIGHLY INFLUENTIAL

Safety frist portfolio selection, extreme value theory and long run asset risks

L. de Haan, D W.Jansen, K G.Koedijk, C G.DeVries
  • Extreme value Theory and Applications, Kluwer,
  • 1994
VIEW 2 EXCERPTS

News e ects in a high frequency model of the sterling-dollar exchange rate

A E.GoodhartC., S G.Hall, G B.HenryS., B. Pesaran
  • Journal of Applied Econometrics,
  • 1993