Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
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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
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美国国家经济研究局创建时间：
2000-01-01
