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referees for their useful comments. All remaining inadequacies are my own. Special thanks are due to Barbara and Edward Netter for their generous financial support. The views herein do not necessarily represent those of the International Monetary Fund. A complete theory for evaluating interval forecasts has not been worked out to date. Most of the(More)
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for related bi-power(More)
We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test statistics in dynamic models that jointly parameterize conditional means and conditional covariances, when a normal log-likelihood is maximized but the assumption of normality is violated. Because the score of the normal log-likelihood has the martingale difference(More)
We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and distributions rely on potentially restrictive and(More)
Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which(More)
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises(More)
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the time-series variation in post-1990 aggregate stock market(More)
We examine ''realized'' daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones $ We thank the editor and referee for several suggestions that distinctly improved this paper. Helpful comments were also provided Industrial Average. We find that the unconditional(More)