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Apparent scaling

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Author Info

  • Ole E. Barndorff-Nielsen

    ()
    (MaPhySto - Centre for Mathematical Physics and Stochastics University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark)

  • Karsten Prause

    ()
    (Mathematische Stochastik, FDM, UniversitÄt Freiburg, Eckerstrañe 1, D-79104 Freiburg, Germany Manuscript)

Abstract

A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58-0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.

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Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 5 (2001)
Issue (Month): 1 ()
Pages: 103-113

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Handle: RePEc:spr:finsto:v:5:y:2001:i:1:p:103-113

Note: received: October 1999; final version received: February 2000
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Cited by:
  1. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  2. repec:hal:cesptp:halshs-00179275 is not listed on IDEAS
  3. David Scott & Diethelm Würtz & Christine Dong & Thanh Tran, 2011. "Moments of the generalized hyperbolic distribution," Computational Statistics, Springer, vol. 26(3), pages 459-476, September.
  4. Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
  5. Karlis, Dimitris, 2002. "An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 43-52, March.
  6. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  7. Antonis Papapantoleon, 2008. "An introduction to L\'{e}vy processes with applications in finance," Papers 0804.0482, arXiv.org, revised Nov 2008.

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