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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 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)
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility(More)
Tauchen for invaluable comments and insightful discussions. We also beneeted greatly from the comments of Bill Schwert the Editor and the Referees who helped us improve the quality of our paper. Abstract The purpose of this paper is to bridge two strands of the literature, one pertaining to the objective o r p h ysical measure used to model the underlying(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)
We shed light on the characteristics of high-frequency asset return and volatility processes and their implications for daily return distributions. We document that the standard jump-diffusion setting readily accommodates the main features of equity index returns, including stochastic volatility, outlier behavior and a strong asymmetry between return and(More)