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Scaling Relationships of Gaussian Processes

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Author Info
Batten, Jonathan () (Hong Kong University of Science & Technology)
Craig Ellis () (University of Western Sydney)

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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.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/wpa01_02.pdf
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Publisher Info
Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2001_02.

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Length: 11 pages
Date of creation: 21 Jan 2001
Date of revision:
Handle: RePEc:dkn:acctwp:aef_2001_02

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Related research
Keywords: Scaling; Volatility; Currency Returns;

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Find related papers by JEL classification:
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

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This page was last updated on 2009-12-3.

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