“…Both return processes (the upper and the lower graphs in Figure 3) display the pattern of stationarity, clustered volatilities and mean close to zero. The P values of the Jarque–Bera test (Jarque & Bera, 1980), the Robust Jarque–Bera test (Gel & Gastwirth, 2008) and the SJ test (Gel, Miao, & Gastwirth, 2007) for both log‐returns are all shown to be less than 10 −16 , indicating that the log return processes for Euro/USD and DAX are heavier than normal, which confirms the previous findings of Ullrich (2009) on currency exchange rates and discussion of DAX log‐returns by Küchler et al (1999), Claessen & Mittnik (2002), Haas, Mittnik, & Paolella (2006), and Gel (2010). Hence, the new robust permutation and bootstrap tests might be the preferred procedures.…”