| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6961 |
| 来源ID | Working Paper 6961 |
| The Distribution of Exchange Rate Volatility | |
| Torben Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys | |
| 发表日期 | 1999-02-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | 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 remarkably precise scaling laws under temporal aggregation. |
| URL | https://www.nber.org/papers/w6961 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564476 |
| 推荐引用方式 GB/T 7714 | Torben Andersen,Tim Bollerslev,Francis X. Diebold,et al. The Distribution of Exchange Rate Volatility. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6961.pdf（1586KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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