Distribusi a-Stable sebagai Distribusi Statistis Kurs Valuta Asing  

Oleh:

Uyanto, Stanislaus Suryadi

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 4 no. 2 (Aug. 2004), page 125-134.
Topik: Kolmogorov Distance; Distribusi a-Stable; McCulloch's Method; Kurs Valuta Asing

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The abundant evidence that changes in foreign exchange rates have distribution with fatter tail than the normal distribution has led researchers to consider non-normal distributions, including the a-stable distribution. This paper compares the empirical fits of the non-normal a-stable distribution and the normal distribution for daily changes in the logarithms of exchange rates. The results suggest that the log of price changes over one day intervals seems to follow an a-stable distribution function.

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