A note on “Modelling exchange rate returns: which flexible distribution to use?”

Saralees Nadarajah; Emmanuel Afuecheta; Stephen Chan

doi:10.1080/14697688.2015.1032997

A note on “Modelling exchange rate returns: which flexible distribution to use?”

Saralees Nadarajah^*, Emmanuel Afuecheta, Stephen Chan

^*Corresponding author for this work

Research output: Contribution to journal › Comment/debate

9 Scopus citations

Abstract

Corlu and Corlu [Quant. Finance, 2014, doi: 10.1080/14697688.2014.942231] provided a novel modelling of exchange rate data for nine currencies using five flexible distributions. They stated that the generalized lambda, skew t and normal inverse Gaussian distributions ‘do a good job’. Here, we reanalyse the data and show that a distribution simpler than all of these fits at least as well as these distributions. We also find that the normal inverse Gaussian distribution provides good fits for only one of the data-sets.

Original language	English
Pages (from-to)	1777-1785
Number of pages	9
Journal	Quantitative Finance
Volume	15
Issue number	11
DOIs	https://doi.org/10.1080/14697688.2015.1032997
State	Published - 2 Nov 2015
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2015 Taylor & Francis.

Keywords

Estimation
Exchange rate returns
Student’s t distribution

ASJC Scopus subject areas

Finance
General Economics, Econometrics and Finance

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10.1080/14697688.2015.1032997

Cite this

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title = "A note on “Modelling exchange rate returns: which flexible distribution to use?”",

abstract = "Corlu and Corlu [Quant. Finance, 2014, doi: 10.1080/14697688.2014.942231] provided a novel modelling of exchange rate data for nine currencies using five flexible distributions. They stated that the generalized lambda, skew t and normal inverse Gaussian distributions {\textquoteleft}do a good job{\textquoteright}. Here, we reanalyse the data and show that a distribution simpler than all of these fits at least as well as these distributions. We also find that the normal inverse Gaussian distribution provides good fits for only one of the data-sets.",

keywords = "Estimation, Exchange rate returns, Student{\textquoteright}s t distribution",

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T2 - which flexible distribution to use?”

AU - Nadarajah, Saralees

AU - Afuecheta, Emmanuel

AU - Chan, Stephen

PY - 2015/11/2

Y1 - 2015/11/2

N2 - Corlu and Corlu [Quant. Finance, 2014, doi: 10.1080/14697688.2014.942231] provided a novel modelling of exchange rate data for nine currencies using five flexible distributions. They stated that the generalized lambda, skew t and normal inverse Gaussian distributions ‘do a good job’. Here, we reanalyse the data and show that a distribution simpler than all of these fits at least as well as these distributions. We also find that the normal inverse Gaussian distribution provides good fits for only one of the data-sets.

AB - Corlu and Corlu [Quant. Finance, 2014, doi: 10.1080/14697688.2014.942231] provided a novel modelling of exchange rate data for nine currencies using five flexible distributions. They stated that the generalized lambda, skew t and normal inverse Gaussian distributions ‘do a good job’. Here, we reanalyse the data and show that a distribution simpler than all of these fits at least as well as these distributions. We also find that the normal inverse Gaussian distribution provides good fits for only one of the data-sets.

KW - Estimation

KW - Exchange rate returns

KW - Student’s t distribution

UR - https://www.scopus.com/pages/publications/84943814440

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VL - 15

SP - 1777

EP - 1785

JO - Quantitative Finance

JF - Quantitative Finance

IS - 11

ER -

A note on “Modelling exchange rate returns: which flexible distribution to use?”

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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Cite this