IDEAS home Printed from https://ideas.repec.org/h/spr/sprfcp/978-3-642-31742-2_4.html
   My bibliography  Save this book chapter

Empirical Mug Shots

Author

Listed:
  • Gilles Zumbach

    (Consulting in Financial Research)

Abstract

The statistics which reveal the most interesting pieces of information are collected in a “mug shot”. The mug shots give a summary of the most salient properties of a time series, where the time series can be generated by a process or obtained from the financial market. The most important statistics relate to the volatility clustering (the heteroscedasticity), the long memory of the volatility (the slow decrease of the lagged correlation), and the distributional properties for the returns (the fat tails). This chapter contains the mug shots for the most important FX rates. They serve as a benchmark for the subsequent analysis of the processes. For this set of FX rates, they show in an informal way the regularities and variability in the statistics. For the processes studied in the following chapter, the mug shots will give a convenient summary of the statistical properties that need to be reproduced.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-642-31742-2_4
DOI: 10.1007/978-3-642-31742-2_4
as

Download full text from publisher

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a
for a similarly titled item that would be available.

More about this item

Keywords

;
;
;
;
;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprfcp:978-3-642-31742-2_4. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.