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. (c) 2007 Elsevier B.V. All rights reserved.
The Levy sections theorem: An application to econophysics
SERVA, Maurizio;
2007-01-01
Abstract
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. (c) 2007 Elsevier B.V. All rights reserved.File in questo prodotto:
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