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An investigation of the maximal moments of exchange rates

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  • M. F. Omran

Abstract

We examine the issue of maximal moments of four exchange rates of US, Japan, Germany and France measured relative to the British Pound. It is found that the second moment of exchange rate returns is finite, and therefore, the infinite variance stable distribution is ruled out as a candidate for modelling exchange rates. In line with US evidence, there is some doubt about the existence of the fourth moment.

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  • M. F. Omran, 1998. "An investigation of the maximal moments of exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 603-606.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:10:p:603-606
    DOI: 10.1080/135048598354258
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