Overview
Paul Labys is a financial economist and co-author, with Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold, of the foundational realized-volatility papers (collectively "ABDL"). His work with them developed the measurement of realized exchange-rate and equity-return volatility from high-frequency data and characterized its distributional properties.
Key Contributions / Features
- Realized volatility measurement (ABDL 2000a/2001, 2003): Co-developed the framework establishing realized volatility as a model-free estimator of integrated volatility, the near-Gaussianity of returns standardized by realized volatility, and the long-memory dynamics of log realized volatility. Culminated in "Modeling and Forecasting Realized Volatility," Econometrica 71(2): 579–625.
Related