The Distribution of Realized Exchange Rate Volatility
Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
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Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : 64 |
Release | : 1999 |
Genre | : Foreign exchange rates |
ISBN | : |
Abstract: Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly.
Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 36 |
Release | : 2000 |
Genre | : Foreign exchange futures |
ISBN | : |
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we show that returns standardized instead by the realized volatilities of Andersen, Bollerslev, Diebold and Labys (1999) are very nearly Gaussian. We perform both univariate and multivariate analyses, we trace the different effects of the different standardizations to differences in information sets, and we draw implications for the presence of jumps in exchange rate diffusions.
Author | : |
Publisher | : |
Total Pages | : 51 |
Release | : 1999 |
Genre | : Bank deposits |
ISBN | : |
Author | : Shang-Jin Wei |
Publisher | : |
Total Pages | : 532 |
Release | : 1992 |
Genre | : |
ISBN | : |
Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 30 |
Release | : 2008 |
Genre | : |
ISBN | : |
Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly persistent temporal variation in both volatilities and correlation, clear evidence of long-memory dynamics in both volatilities and correlation, and remarkably precise scaling laws under temporal aggregation.
Author | : Michael L. Bagshaw |
Publisher | : |
Total Pages | : 44 |
Release | : 1986 |
Genre | : Distribution (Probability theory) |
ISBN | : |
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Luc Bauwens |
Publisher | : |
Total Pages | : 31 |
Release | : 2005 |
Genre | : |
ISBN | : |
Author | : Riccardo Cristadoro |
Publisher | : |
Total Pages | : 68 |
Release | : 2008 |
Genre | : Foreign exchange rates |
ISBN | : |