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Tail Estimates of East European Exchange Rates

Author

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  • Koedijk, Kees G
  • Kool, Clemens J M

Abstract

In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. The authors 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. They 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.

Suggested Citation

  • Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
    • Handle: RePEc:bes:jnlbes:v:10:y:1992:i:1:p:83-96
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