Fat Tailed Exchange Rate Returns

sreeharimenon · April 15th, 2012, 7:52 pm

Hi All,Are there any papers talking about fat tailed exchange rate returns corresponding with underlying fat tailed macro economic fundamentals?I am trying to analyse how EVT can explain the non-normality of exchange rate if the fundamentals are fat-tailed.Any help in this direction would be highly appreciated.RegardsSree

willsmith · July 23rd, 2012, 3:34 pm

You could come at it the other way and try to wonder why any returns should exhibit normality.