Citation
J. Batten et C. Ellis, Scaling relationships of Gaussian processes, ECON LETT, 72(3), 2001, pp. 291-296
Citations number
5
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765
→ ACNP
Volume
72
Issue
3
Year of publication
2001
Pages
291 - 296
Database
ISI
SICI code
0165-1765(200109)72:3<291:SROGP>2.0.ZU;2-Y
Abstract
Asset returns conforming to a Gaussian random walk are characterised by the
temporal independence of the moments of the distribution. Employing curren
cy returns, this note demonstrates the conditions that are necessary for ri
sk to be estimated in this manner. (C) 2001 Elsevier Science B.V. All right
s reserved.