Scaling Relationships of Gaussian Processes

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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Year of publication:	2001-01-21
Authors:	Batten, Jonathan ; Ellis, Craig
Institutions:	Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
Subject:	Scaling \| Volatility \| Currency Returns

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Extent:	application/pdf
Series:	Accounting, Finance, Financial Planning and Insurance Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2001_02 11 pages
Classification:	C49 - Econometric and Statistical Methods: Special Topics. Other ; F31 - Foreign Exchange ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004982334