This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at...

This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555–574] and of Shiller [Do stock prices move too much to be justified by subsequent changes...