When asset returns conform to a Gaussian distribution, the moments of the distribution over long return intervals may be estimated by scaling the moments of shorter return intervals. While it is well known that asset returns are not normally distributed, a key empirical question concerns the...

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

The tail of financial returns is typically governed by a power law (i.e. “fat tails”). However, the constancy of the so-called tail index α which dictates the tail decay has been hardly investigated. We study the finite sample properties of some recently proposed endogenous tests for...

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

This study investigates the sensitivity of the long-term return anomaly observed on the Nikkei stock index to sample and method bias using daily data from the period 3 January 1980 to 31 October 2000. Initially, the CUSUM statistic is employed to identify sub-periods of sign shifts in the mean...

There are several econometric studies in the literature discussing the empirics of the foreign exchange rate movements and the volatility of the foreign exchange and its association with some fundamentals under different exchange rate regimes in Turkey. However,all these concentrate on the...

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.

A power law typically governs the tail decay of financial returns but the constancy of the so-called tail index which dictates the tail decay remains relatively unexplored. We study the finite sample properties of some recently proposed endogenous tests for structural change in the tail index....

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...