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The Econophysics of the Brazilian Real-US Dollar Rate

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  • Raul Matsushita
  • Iram Gleria
  • Annibal Figueiredo
  • Sergio Da Silva

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File URL: http://128.118.178.162/eps/fin/papers/0407/0407012.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0407012.

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Date of creation: 16 Jul 2004
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Handle: RePEc:wpa:wuwpfi:0407012

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Web page: http://128.118.178.162

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  1. Stanley, H.E. & Amaral, L.A.N. & Gabaix, X. & Gopikrishnan, P. & Plerou, V., 2001. "Similarities and differences between physics and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 1-15.
  2. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
  3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  4. Rafal Weron, 2001. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," HSC Research Reports HSC/01/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
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