EconPapers    
Economics at your fingertips  
 

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Torben Andersen (), Tim Bollerslev (), Francis Diebold () and Paul Labys

No 7488, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C0 G0 (search for similar items in EconPapers)
Date: 2000-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (105) Track citations by RSS feed

Published as Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Paul Labys. "The Distribution Of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 2001, v96(453,Mar), 42-55.
Published as Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 159-179, September.

Downloads: (external link)
http://www.nber.org/papers/w7488.pdf (application/pdf)

Related works:
Journal Article: Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (2000) Downloads
Working Paper: Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian (1999) Downloads
Working Paper: Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian (1999) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:7488

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w7488

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2022-08-23
Handle: RePEc:nbr:nberwo:7488