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The Sub-Gaussian Distribution of Currency Futures: Stable Peretian or Nonstationary?

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  • So, Jacky C

Abstract

This study conducts an empirical test to examine wh ether the observed non-normal distribution of currency futures price changes isgenerated by the relationship between maturity and variability. In general, the author finds that the relationship between maturity and vari-ability is not suff icient to explain the observed non- normality. Although some amount of non-statio narity is present in the scale and in the characteristic exponent, the non-norma l stable Paretian distribution adequately describes futures price changes for mo st currencies and most contracts during the period covered in thisstudy Copyright 1987 by MIT Press.

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  • So, Jacky C, 1987. "The Sub-Gaussian Distribution of Currency Futures: Stable Peretian or Nonstationary?," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 100-107, February.
    • Handle: RePEc:tpr:restat:v:69:y:1987:i:1:p:100-107
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    Cited by:

    1. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    2. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
    3. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, vol. 33(C), pages 926-939.
    6. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
    7. Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).

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