Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc,...

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations,...