Scaling relationships of Gaussian processes
Abstract
Asset returns conforming to a Gaussian random walk are characterised by the temporal independence of the moments of the distribution. Employing currency returns, this note demonstrates the conditions that are necessary for risk to be estimated in this manner.(This abstract was borrowed from another version of this item.)
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Bibliographic Info
Article provided by Elsevier in its journal Economics Letters.
Volume (Year): 72 (2001)
Issue (Month): 3 (September)
Pages: 291-296
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Handle: RePEc:eee:ecolet:v:72:y:2001:i:3:p:291-296
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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).
Related research
Keywords:Other versions of this item:
- Batten, Jonathan & Craig Ellis, 2001. "Scaling Relationships of Gaussian Processes," Accounting, Finance, Financial Planning and Insurance Series 2001_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
References
References listed on IDEASPlease report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Drost, Feike C & Nijman, Theo E, 1993.
"Temporal Aggregation of GARCH Processes,"
Econometrica,
Econometric Society, vol. 61(4), pages 909-27, July.
- Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153273, Tilburg University.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
- Andrew W. Lo, 1989.
"Long-term Memory in Stock Market Prices,"
NBER Working Papers
2984, National Bureau of Economic Research, Inc.
- Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Jonathan Batten & Craig Ellis, 2001. "Scaling Foreign Exchange Volatility," Accounting, Finance, Financial Planning and Insurance Series 2001_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
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