| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7488 |
| 来源ID | Working Paper 7488 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian | |
| Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys | |
| 发表日期 | 2000 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we show that returns standardized instead by the realized volatilities of Andersen, Bollerslev, Diebold and Labys (1999) are very nearly Gaussian. We perform both univariate and multivariate analyses, we trace the different effects of the different standardizations to differences in information sets, and we draw implications for the presence of jumps in exchange rate diffusions. |
| 主题 | Financial Economics ; Econometrics |
| URL | https://www.nber.org/papers/w7488 |
| 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/565034 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. 2000. |
| 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 | ||
| w7488.pdf（1556KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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