Financial Volatility and Independent and Identically Distributed Variables
AbstractGiven that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002.
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Date of creation: 16 Jul 2004
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- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2005. "Financial volatility and independent and identically distributed variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 484-498.
- G - Financial Economics
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