| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9728009 | Physica A: Statistical Mechanics and its Applications | 2005 | 15 Pages |
Abstract
Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Annibal Figueiredo, Iram Gleria, Raul Matsushita, Sergio Da Silva,