The Capital Asset Pricing Model (CAPM) assumes either that all asset returns are normally distributed or that investors have mean-variance preferences. Given empirical observations of asset returns, which document evidence of skewness and kurtosis, both assumptions are suspect. While several...

Using high frequency intraday returns, we construct a proxy for the USD/GBP exchange rate return realized volatility. It is shown that they dynamics of the logarithms of realized volatilities can be captured be either a fractionally integrated long memory likelihood. The paper compares the...