The distribution of realized exchange rate volatility

Journal of the American Statistical Association

Volumn 96, Issue 453, 2001, Pages 42-55

  Andersen, Torben G ^a   Bollerslev, Tim ^b   Diebold, Francis X ^c   Labys, Paul ^c  

^a NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Forecasting; High frequency data; Integrated volatility; Long memory; Quadratic variation; Realized volatility; Risk management

Indexed keywords

EID: 1842715601     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1198/016214501750332965     Document Type: Article

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