Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
收藏NBER2000-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7488
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2000-01-01
