The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary?
实证检验货币期货价格变化的非正态分布是否由到期日与波动性的关系导致，发现该关系不足以解释非正态性，且稳定帕累托分布能较好描述多数货币和合约的价格变化。
This study conducts an empirical test to examine wh ether the observed non-normal distribution of currency futures price changes isgenerated by the relationship between maturity and variability. In general, the author finds that the relationship between maturity and vari-ability is not suff icient to explain the observed non- normality. Although some amount of non-statio narity is present in the scale and in the characteristic exponent, the non-norma l stable Paretian distribution adequately describes futures price changes for mo st currencies and most contracts during the period covered in thisstudy Copyright 1987 by MIT Press.