【毕业设计外文翻译用----金融市场微观结构外文文献】andersen-bdl99exchangereturn.pdf

文档介绍：Exchange Rate Returns
Standardized by Realized Volatility are (Nearly) Gaussian*
by
Torben G. Andersena, Tim Bollerslevb, Francis X. Dieboldc and Paul Labysd
September 1999
This version: October 26, 1999
__________________
* This work was supported by the National Science Foundation. We are grateful to Olsen and
Associates for making available the intraday exchange rate quotations. For ments we
thank David Backus, Rob Engle, John Geweke, and seminar participants at New York University.
a Department of Finance, Kellogg Graduate School of Management, Northwestern University,
phone: [phone], e-mail: t-******@
b Department of Economics, Duke University, and NBER, phone: [phone], e-mail:
******@
c Department of Finance, Stern School of Business, New York University, and Departments of
Economics and Statistics, University of Pennsylvania, and NBER, phone: [phone],
e-mail: ******@
d Graduate Group in Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA
19104-6297, phone: [phone], e-mail: ******@
Copyright © 1999 . Andersen, T. Bollerslev, . Diebold, and P. Labys
1. Introduction and Basic Ideas
The prescriptions of modern financial risk management hinge critically on the associated
characterization of the distribution of future returns (cf., Diebold, Gunther and Tay, 1998, and
Diebold, Hahn and Tay, 1999). Because volatility persistence renders high-frequency returns
temporally dependent (., Bollerslev, Chou and Kroner, 1992), it is the conditional return
distribution, and not the unconditional distribution, that is of relevance for risk management. This
is especially true in high-frequency situations, such as monitoring and managing the risk
associated with the day-to-day operations of a trading desk, where volatility clustering is
omnipresent.
Exchange rate returns are well-known to be unconditionally symmetric but highly
leptok