High- and low-frequency exchange rate volatility dynamics
Subtitle: range-based estimation of stochastic volatility models
By: Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold.
Contributors: Brandt, Michael W.; Diebold, Francis X., 1959-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8162; Working paper series (National Bureau of Economic Research) -- working paper no. 8162.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 40
Subjects: Foreign exchange rates -- Econometric models.; Estimation theory.
Genres: Econometric models.
Notes: "March 2001."

JEL no. G1, F3, C1.

Includes bibliographical references (p. [41-45]).

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Electronic version available via the Internet at the NBER World Wide Web site.