In this paper we investigate scaling properties of risky asset returns and make a strong case (1) against the need for …-range dependent. These scaling properties are well known, although commonly ignored for modeling convenience. However, much more can … be inferred from the scaling properties of the returns. It turns out that the empirical scaling functions are initially …

results. An alternative scaling of the correspondence analysis solution, the contribution biplot, is proposed as a way of …

This paper presents an empirical investigation of scaling and multifractal properties of US Dollar–Deutschemark (USD … exhibit power-law scaling in the tails. To test the multifractal properties of USD–DEM returns, the mean moment of the … different slopes for these powers of absolute returns. The nonlinearity of the scaling exponent indicates that the returns are …

interval. The scaling property is observed in all three relations. The fact of long relaxation times gives evidence of long …

resting on the stationary assumption can produce a wrong information on the scaling, and so on the complexity of the process … applications made in the companion paper. We also illustrate a new procedure to assess the existence of a genuine scaling, based on … the adoption of diffusion entropy, multiscaling analysis and the direct assessment of scaling. Using artificial sequences …

model was investigated by Monte Carlo simulations on square lattices of various sizes and a detailed scaling analysis of …