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Scaling Relationships of Gaussian Processes

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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.

Suggested Citation

  • Batten, Jonathan & Craig Ellis, 2001. "Scaling Relationships of Gaussian Processes," Working Papers 2001_02, Deakin University, Department of Economics.
  • Handle: RePEc:dkn:acctwp:aef_2001_02
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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/wpa01_02.pdf
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    Citations

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    Cited by:

    1. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    2. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.

    More about this item

    Keywords

    Scaling; Volatility; Currency Returns;
    All these keywords.

    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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