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.
| Original language | English |
|---|---|
| Number of pages | 6 |
| Journal | Economics Letters |
| Publication status | Published - 2001 |
Keywords
- currency returns
- scaling
- volatility