| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 978082 | Physica A: Statistical Mechanics and its Applications | 2007 | 4 Pages |
Abstract
We employ the Lévy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
A. Figueiredo, R. Matsushita, S. daSilva, M. Serva, G.M. Viswanathan, C. Nascimento, Iram Gleria,