Exploring exchange rate returns at different time horizons

Physica A: Statistical Mechanics and its Applications

Volumn 313, Issue 3-4, 2002, Pages 671-682

  Nekhili, Ramzi ^a   Altay Salih, Aslihan ^a   Gençay, Ramazan ^b  

^a BILKENT UNIVERSITY   (Turkey)

^b UNIVERSITY OF WINDSOR   (Canada)

Author keywords

Continuous time processes; Exchange rate returns; Time scales

Indexed keywords

COMPUTER SIMULATION; RANDOM PROCESSES; RISK MANAGEMENT; STATISTICAL METHODS;

EXCHANGE RATE RETURNS;

FINANCE;

EID: 0037107841     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00986-X     Document Type: Article

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