Currently I am analysing the stylized facts for some EURO FX rates. This paper states that we can prove the fat tail distribution of the FX log returns via the computation of the tail index. For a person who is not familiar with extreme value theory how can I reproduce the results of table 3 in the paper ?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.