The Distribution of Realized Exchange Rate Volatility
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. 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
Year of publication: |
[2002]
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Authors: | Andersen, Torben G. |
Other Persons: | Bollerslev, Tim (contributor) ; Diebold, Francis X. (contributor) ; Labys, Paul (contributor) |
Publisher: |
[2002]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (32 p) |
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Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2000 erstellt |
Other identifiers: | 10.2139/ssrn.267791 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012741855
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