Stylized Facts of Nominal Exchange Rate Returns

Casper G. de Vries · K. U. Leuven

110 citations0/0 files storedRePEc: Research Papers in Economics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

This survey collects the stylized facts on nominal foreign exchange rate returns. The most salient statistical regularities: unit roots, fat tails, and volatility clusters are extensively discussed.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1978Specification Tests in Econometrics 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Noise Trader Risk in Financial Markets 1978Asset Prices in an Exchange Economy 1997The variation of certain speculative prices 1983Empirical exchange rate models of the seventies

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