Working paper/research report

Publication year: 2006

URL: https://api.semanticscholar.org/CorpusID:15930749

Title of series: CCFEA Working Paper Series

Number in series: WP008-06

Abstract: 

Empirical research on financial market data reports a number of properties of return time series which are considered as ‘stylized facts’. In this contribution, statistics for the unconditional distribution of foreign exchange rate returns are discussed. The robustness of these properties is assessed using the bootstrap and considering different subsamples. The effect of time aggregation is also analyzed.
Based on the results robust stylized facts are selected which – together with similar results for conditional distributions and long range dependence provided in a companion paper – will result in an objective function for an indirect estimation method of agent based models.

Harvard Citation style: Winker, P. and Jeleskovic, V. (2006) The Unconditional Distribution of Exchange Rate Returns: Statistics, Robustness, Time Aggregation. (CCFEA Working Paper Series, WP008-06). Colchester: University of Essex. https://api.semanticscholar.org/CorpusID:15930749

APA Citation style: Winker, P., & Jeleskovic, V. (2006). The Unconditional Distribution of Exchange Rate Returns: Statistics, Robustness, Time Aggregation. (CCFEA Working Paper Series, WP008-06). University of Essex. https://api.semanticscholar.org/CorpusID:15930749