The Levy sections theorem: an application to econophysics
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.
|Date of creation:||03 Jul 2007|
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- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006.
"Nonidentically distributed variables and nonlinear autocorrelation,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 363(2), pages 171-180.
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2005. "Nonidentically distributed variables and nonlinear autocorrelation," Finance 0508009, EconWPA.
- 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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