The Levy sections theorem: an application to econophysics
AbstractWe employ the Levy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We ﬁnd that the presence of fat tails can be related to the local volatility pattern of the series.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3810.
Date of creation: 03 Jul 2007
Date of revision:
Find related papers by JEL classification:
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-07 (All new papers)
- NEP-ECM-2007-07-07 (Econometrics)
- NEP-ETS-2007-07-07 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2005.
"Nonidentically distributed variables and nonlinear autocorrelation,"
- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Nonidentically distributed variables and nonlinear autocorrelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 171-180.
- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "The Levy sections theorem revisited," MPRA Paper 1983, University Library of Munich, Germany.
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