We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...

Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory. - I discuss mean reversion in the first and the second moment of the return distribution. After a discussion of the concepts and a summary of the findings in the literature, I...

We study the stability of estimated linear statistical relations of global mean temperature and global mean sea level with regard to data revisions. Using four different model specifications proposed in the literature, we compare coefficient estimates and long-term sea level projections using...