Abstract
This paper investigates the behavior of foreign exchange rates. Empirical tests indicate that the distribution of the underlying stochastic process for foreign exchange rate changes was stable paretion during fixed rate periods while a Student model provides a relatively better description of floating rates. These findings point to an important direction for further work on the appropriate distribution for foreign exchange rates and estimates of parameters.
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*Richard J. Rogalski is Assistant Professor of Finance, the Amos Tuck School of Business Administration, Dartmouth College, where he is conducting research in capital theory under uncertainty.
**Joseph D. Vinso is Assistant Professor of Finance, the Wharton School, University of Pennsylvania, whose research interests Involve corporate financial management.
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Rogalski, R., Vinso, J. Empirical Properties of Foreign Exchange Rates. J Int Bus Stud 9, 69–79 (1978). https://doi.org/10.1057/palgrave.jibs.8490663
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DOI: https://doi.org/10.1057/palgrave.jibs.8490663