外国為替市場における収益率分布のテールインデックス推定

抄録

We study unconditional distribution derived from the Fokker-Planck equation for an artificial market. The artificial market consists of two kind of participants; fundamentalists and chartist(noise traders). We compute parameter estimates for absolute-log-return time series of exchange rates by means of the maximum likelihood method. We compare the model-based tail index with Hill's estimators.