The Distribution Of Realized Exchange Rate Volatility
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The Distribution Of Realized Exchange Rate Volatility
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Author : Torben G. Anderson
language : en
Publisher:
Release Date : 2001
The Distribution Of Realized Exchange Rate Volatility written by Torben G. Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The Distribution Of Exchange Rate Volatility
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Author : Torben G. Anderson
language : en
Publisher:
Release Date : 1999
The Distribution Of Exchange Rate Volatility written by Torben G. Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Foreign exchange rates categories.
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.
Exchange Rate Returns Standardized By Realized Volatility Are Nearly Gaussian
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Author : Torben G. Andersen
language : en
Publisher:
Release Date : 2000
Exchange Rate Returns Standardized By Realized Volatility Are Nearly Gaussian written by Torben G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Foreign exchange futures categories.
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.
Essays On Exchange Rate Volatility And On Regional Integration
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Author : Shang-Jin Wei
language : en
Publisher:
Release Date : 1992
Essays On Exchange Rate Volatility And On Regional Integration written by Shang-Jin Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
The Redesign Of The Matching Market For American Physicians
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Author :
language : en
Publisher:
Release Date : 1999
The Redesign Of The Matching Market For American Physicians written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Bank deposits categories.
The Distribution Of Exchange Rate Volatility
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Author : Torben G. Andersen
language : en
Publisher:
Release Date : 2008
The Distribution Of Exchange Rate Volatility written by Torben G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
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.
Intervention Exchange Rate Volatility And The Stable Paretian Distribution
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Author : Michael L. Bagshaw
language : en
Publisher:
Release Date : 1986
Intervention Exchange Rate Volatility And The Stable Paretian Distribution written by Michael L. Bagshaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Distribution (Probability theory) categories.
Exchange Rate Volatility And The Mixture Of Distribution Hypothesis
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Author : Luc Bauwens
language : en
Publisher:
Release Date : 2005
Exchange Rate Volatility And The Mixture Of Distribution Hypothesis written by Luc Bauwens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Real Exchange Rate Volatility And Disconnect
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Author : Riccardo Cristadoro
language : en
Publisher:
Release Date : 2008
Real Exchange Rate Volatility And Disconnect written by Riccardo Cristadoro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Foreign exchange rates categories.
Interpreting The Volatility Smile
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Author : Steven A. Weinberg
language : en
Publisher:
Release Date : 2001
Interpreting The Volatility Smile written by Steven A. Weinberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Foreign exchange futures categories.