Nekhili, Ramzi; Altay-Salih, Aslihan; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 313 (2002) 3, pp. 671-682
This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at...