The statistical properties of daily foreign exchange rates: 1974–1983
The statistical properties of daily foreign exchange rates: 1974–1983
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每日外汇汇率的统计特性：1974-1983
DOI：
10.1016/0022-1996(88)90025-6
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发表时间：
1988
影响因子：
3.3
通讯作者：
David Hsieh
中科院分区：
文献类型：
--
作者：
David Hsieh
本文研究了 1974 年至 1983 年间五种外币每日汇率变化的统计特性。主要目的是区分对观察到的重尾分布的两种相互竞争的解释：数据是独立地从随时间保持固定的重尾分布中得出的，数据来自随时间变化的分布。证据表明第一个假设被拒绝。进一步的调查表明，拒绝可归因于数据的均值和方差的变化，这可以通过简单的统计模型来描述。
This paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983. The main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution: that the data are independently drawn from a heavy tail distribution which remains fixed over time, and that the data come from distributions which vary over time. Evidence point to the rejection of the first hypothesis. Further investigations show that the rejection can be attributed to changing means and variances in the data, which can be described by a simple statistical model.