The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
The Distribution of Realized Exchange Rate Volatility
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 that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may 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 persistent dynamics in volatilities and correlations, evidence of long-memory dynamics in volatilities and correlations, and remarkably precise scaling laws under temporal aggregation.
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Cites
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Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
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MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Forecasting Volatility in Financial Markets: A Review
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Estimating quadratic variation using realized variance
Barndorff‐Nielsen, O. E., & Shephard, N. (2002) · Journal of Applied Econometrics · doi:10.1002/jae.691 · Cited by 616
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, F., Pirino, D., & Renò, R. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.07.008 · Cited by 561
Metadata
- Authors
- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 2001-03
- Volume
- 96
- Issue
- 453
- Pages
- 42-55
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W3125412410
- Cited by
- 2,104
- References
- 30
- FWCI
- 98.52
- Type
- journal article
- Language
- en
- Open access
- closed
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- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The Distribution of Realized Exchange Rate Volatility. Journal of the American Statistical Association. https://doi.org/10.1198/016214501750332965
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