Browsing by Subject "Student's Distribution"

Now showing items 1-1 of 1

    • Article  

      Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns 

      Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1998)
      This paper analyzes exchange rate returns for five currencies (Danish krone, Dutch guilder, French franc, Swiss franc, and U.S. dollar). As in Caporale and Pittis (1994), and unlike most of the empirical literature on ...