The Review of Economics and Statistics Vol. 69 No. 1 1987
The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary?
Abstract
This study conducts an empirical test to examine wh ether the observed non-normal distribution of currency futures price changes isgenerated by the relationship between maturity and variability. In general, the author finds that the relationship between maturity and vari-ability is not suff icient to explain the observed non- normality. Although some amount of non-statio narity is present in the scale and in the characteristic exponent, the non-norma l stable Paretian distribution adequately describes futures price changes for mo st currencies and most contracts during the period covered in thisstudy
- DOI
- 10.2307/1937906
- Volume
- 69
- Issue
- 1
- Pages
- 100
- Sources
- crossref openalex