The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes
实证检验了四种候选过程，发现混合跳跃模型最适合描述六种主要交易货币的短期汇率变化，对研究汇率波动和金融建模有参考价值。
This study investigates empirically candidate processes for characterizing foreign exchange price changes measured over limited horizons. Extant empirical studies find distributions of exchange returns too long-tailed and leptokurtic to satisfy normality. Four processes are investigated here because of their potential to model o bserved discontinuities in exchange rates and nonstationary sample moments, as well as their economic appeal. The results favor a mixed-jump model for all six major trading currencies tested. Copyright 1988 by MIT Press.