Paul Labys

Charles River Associates (CRA) - Utah Office

170 South Main St., Suite 500

Salt Lake City, UT 84101

United States

SCHOLARLY PAPERS

4

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Top 14,815

in Total Papers Downloads

3,366

SSRN CITATIONS
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Top 1,491

in Total Papers Citations

392

CROSSREF CITATIONS

313

Scholarly Papers (4)

1.
Downloads 2,233 ( 6,293)
Citation 159

Modeling and Forecasting Realized Volatility

PIER Working Paper No. 01-002
Number of pages: 47 Posted: 02 May 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 2,104 (6,794)
Citation 162

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Continuous-Time Methods, Quadratic Variation, Realized Volatility, Realized Correlation, High-Frequency Data, Exchange Rates, Vector Autoregression, Long Memory, Volatility Forecasting, Correlation Forecasting, Density Forecasting, Risk Management, Value at Risk

Modeling and Forecasting Realized Volatility

NBER Working Paper No. w8160
Number of pages: 47 Posted: 09 Mar 2001 Last Revised: 11 Feb 2002
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 129 (229,685)
Citation 1

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2.

The Distribution of Realized Exchange Rate Volatility

PIER Working Paper No. 01-003
Number of pages: 32 Posted: 02 May 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 757 (33,408)
Citation 69

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Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting

3.
Downloads 250 (127,035)
Citation 125

The Distribution of Exchange Rate Volatility

NYU Working Paper No. FIN-99-059
Number of pages: 30 Posted: 11 Nov 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 151 (202,051)
Citation 4

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Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory

The Distribution of Exchange Rate Volatility

NBER Working Paper No. w6961
Number of pages: 49 Posted: 23 Jun 1999 Last Revised: 12 Oct 2010
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 99 (278,636)

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

NBER Working Paper No. w7488
Number of pages: 23 Posted: 10 Mar 2000 Last Revised: 10 Apr 2001
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 102 (272,934)
Citation 2

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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Multinational Finance Journal, Vol. 4, No. 3/4, p. 159-179, 2000
Number of pages: 21 Posted: 08 Jul 2015
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Pennsylvania - Department of Economics and Charles River Associates (CRA) - Utah Office
Downloads 24 (533,188)
Citation 1

Abstract:

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high-frequency data; integrated volatility; realized volatility; risk management