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
Tech Report Number
1994-002
Date of this Version
1994
Recommended Citation
de Vries, Casper G. and Leuven, K. U., "Stylized Facts of Nominal Exchange Rate Returns" (1994). Purdue CIBER Working Papers. Paper 79.
https://docs.lib.purdue.edu/ciberwp/79
COinS
Comments
Original Fall 1991