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- W2024412000 abstract "In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. We use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. We modify an existing tail-index estimator to take into account information in both tails. The results support the existence of finite second moments in exchange- rate returns. Implicitly, the sum-stable distribution is rejected." @default.
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- W2024412000 date "1992-01-01" @default.
- W2024412000 modified "2023-09-30" @default.
- W2024412000 title "Tail Estimates of East European Exchange Rates" @default.
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- W2024412000 doi "https://doi.org/10.1080/07350015.1992.10509889" @default.
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