Tail Estimates of East European Exchange Rates
使用基于极值理论的非参数尾部指数估计量，分析1955-1990年七种东欧货币黑市汇率回报的尾部特征，并修改估计量以利用双尾信息，结果支持有限二阶矩的存在，拒绝稳定分布。
In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. We use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. We modify an existing tail-index estimator to take into account information in both tails. The results support the existence of finite second moments in exchange- rate returns. Implicitly, the sum-stable distribution is rejected.