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Tail estimates of East European exchange rates

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Author Info

  • Koedijk, C.G.

    (Tilburg University)

  • Kool, C.J.M.

Abstract

In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. The authors use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. They modify an existing tail-index estimator to take into account information in both tails. The results support the existence of finite second moments in exchange-rate returns. Implicitly, the sum-stable distribution is rejected.

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3108733.

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Date of creation: 1992
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Publication status: Published in Journal of Business & Economic Statistics (1992) v.10, p.83-96
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-3108733

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Web page: http://www.tilburguniversity.edu/

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