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Are exchange rate changes normally distributed?

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  • Coppes, R. C.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3YXBJ0M-1/2/da737220c2b4609005137696284820b0
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 47 (1995)
    Issue (Month): 2 (February)
    Pages: 117-121

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    Handle: RePEc:eee:ecolet:v:47:y:1995:i:2:p:117-121

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    2. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420.
    3. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 105-116, March.
    4. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
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    Cited by:
    1. Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.

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