Stylized Facts of Nominal Exchange Rate Returns

Authors

Casper G. de Vries, Erasmus University Rotterdam
K. U. Leuven, Erasmus University Rotterdam

Tech Report Number

1994-002

Comments

Original Fall 1991

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.

Keywords

Exchange rate

Date of this Version

1994