The Distribution of Realized Exchange Rate Volatility

By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys. 2001

2,104 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4b17c2c1f3afecd399be0fee65a853c967ce8653

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Citations in the corpus

Simple (but effective) tests of long memory versus structural breaks (2006, methodology): “We construct a realized volatility series (Andersen et al. (2001a)) from thirty-minute intraday returns on the S&P 500 index obtained from Tick Data, Inc. Thirty-minute interval was chosen to balance between the accuracy of the approximation of the continuous record asymptotics and the bias from…”
Speculators, Prices and Market Volatility (2016, result): “…realized volatility estimator corrects for the bias of the noise by subtracting the noise variance from the average estimator 9 Alternatively, the Barndorff-Nielsen et al. (2008) kernel estimator and the Andersen et al. (2001) low frequency sampling approach yield qualitatively similar results.”
Scaling properties of foreign exchange volatility (2001, background): “Recently, Andersen et al. [10] provide further evidence that there are precise scaling laws for daily volatility of foreign exchange returns.”
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003, positive): “For a discussion of the effects of conditional mean and variance jumps on realized volatility, see Andersen et al. (2003). 9 We also tried allowing for negative J, to account for announcement leakage before the official time, and more generally to account for the fact that the MMS forecasts might no”
Forecasting Exchange Rates: A Robust Regression Approach (2007, background): “The existence of outliers is also corroborated by numerous studies (see e.g. Hsieh (1989), Baillie and Bollerslev (1989) and Andersen et al. (2001)).”
Realized Volatility: A Review (2008, methodology): “More recently, Hansen et al. (2008), showed that the MA(1) structure considered in Ebens (1999) and Andersen et al. (2001a) is well specified when the market microstructure noise is IID.”
Testing Forecast Optimality Under Unknown Loss (2007, neutral): “used an ARMA( 1 ,1) model for the conditional mean, which was found to remove all significant”
A comprehensive review of Value at Risk methodologies (2014, methodology): “With respect to the latter point, the autoregressive fractionally integrated model has been used by Andersen et al. (2001a, 2001b, 2003), Koopman et al. (2005), Pong et al. (2004), among others. a) Empirical results of volatility models in VaR This section lists the results obtained from research…”
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, positive): “The computations follow the methodology described in Andersen, Bollerslev, Diebold and Labys (2001, 2003a) .T o facilitate cross country comparisons, we restrict the calculations to encompass the common trading hours from 8:20 to 12:30 EST, resulting in a total of 51 five-minute intervals”