to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the … between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany …

cross-effects of intervention with the level and volatility of exchange rates using the likely timing of intervention … no significant effect on volatility. The paper also illustrates that such inference depends on paying careful attention …