1Torben G. Andersen is Professor, Department of Finance, Kellogg Graduate School of Management, Northwestern University and National Bureau of Economic Research . Tim Bollerslev is Professor, Departments of Economics and Finance, Duke University and National Bureau of Economic Research . Francis X. Diebold is Professor, Departments of Economics and Statistics, University of Pennsylvania and National Bureau of Economic Research . Paul Labys is Ph.D. Candidate, Department of Economics, University of Pennsylvania . This work was supported by the National Science Foundation. The authors are grateful to Olsen and Associates for making the intraday exchange rate quotations available. The authors thank participants at the 1999 North American and European Meetings of the Econometric Society, the Spring 1999 National Bureau of Economic Research Asset Pricing Meeting, the 2000 Western Finance Association Meeting, and seminars at Boston University, Chicago, Columbia, Georgetown, International Monetary Fund, Johns Hopkins, New York University, and London School of Economics (LSE), as well as the editor, associate editor, two anonymous referees, Dave Backus, Michael Brandt, Rohit Deo, Rob Engle, Clive Granger, Lars Hansen, Joel Hasbrouck, Ludger Hentschel, Cliff Hurvich, Blake LeBaron, Richard Levich, Bill Schwert, Rob Stambaugh, George Tauchen, and Stephen Taylor. Much of this paper was written while Diebold was visiting the Stern School of Business, New York University, whose hospitality is gratefully acknowledged.
