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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3,420

SSRN CITATIONS
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Top 1,496

in Total Papers Citations

451

CROSSREF CITATIONS

313

Scholarly Papers (4)

1.
Downloads 2,268 ( 6,578)
Citation 181

Modeling and Forecasting Realized Volatility

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 2,136 (7,140)
Citation 185

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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 132 (236,935)
Citation 1

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2.

The Distribution of Realized Exchange Rate Volatility

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 769 (34,718)
Citation 79

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

3.
Downloads 256 (130,706)
Citation 127

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 156 (206,566)
Citation 7

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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 100 (290,318)

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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 103 (284,594)
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 (557,909)
Citation 1

Abstract:

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