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Are exchange rate changes normally distributed?

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  • Coppes, R. C.

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  • Coppes, R. C., 1995. "Are exchange rate changes normally distributed?," Economics Letters, Elsevier, vol. 47(2), pages 117-121, February.
    • Handle: RePEc:eee:ecolet:v:47:y:1995:i:2:p:117-121
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    References listed on IDEAS

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    1. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
    2. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    4. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
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    Cited by:

    1. Jialu Ji & Hongxing Zheng & Jia Qi & Mingjun Ji & Lingrui Kong & Shengzhong Ji, 2023. "Financial and Logistical Service Strategy of Third-Party Logistics Enterprises in Cross-Border E-Commerce Environment," Sustainability, MDPI, vol. 15(8), pages 1-20, April.
    2. Coppes, Robert Christophor & Stokking, Evert Jan, 1996. "Credit risk exposure with interest and currency swaps," European Journal of Operational Research, Elsevier, vol. 91(2), pages 338-345, June.
    3. Vandna Jowaheer & Nafeessah Z. B. Ameerudden, 2012. "Modelling the Dependence Structure of MUR/USD and MUR/INR Exchange Rates using Copula," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 27-32.
    4. Ercan Balaban & Jamal Ouenniche & Danae Politou, 2005. "A note on return distribution of UK stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 12(9), pages 573-576.
    5. Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    6. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    7. Jeffrey Chu & Saralees Nadarajah & Stephen Chan, 2015. "Statistical Analysis of the Exchange Rate of Bitcoin," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
    8. Joerg Osterrieder & Julian Lorenz, 2017. "A Statistical Risk Assessment Of Bitcoin And Its Extreme Tail Behavior," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-19, March.
    9. Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.

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