We 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
3810.
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Find related papers by JEL classification: C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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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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