Scaling relationships of Gaussian processes

Jonathan Batten; Craig Ellis

Scaling relationships of Gaussian processes

Jonathan Batten
, Craig Ellis

Research output: Contribution to journal › Article

4 Citations (Scopus)

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

Cite this

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title = "Scaling relationships of Gaussian processes",

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.",

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year = "2001",

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AU - Ellis, Craig

PY - 2001

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AB - 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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KW - scaling

KW - volatility

UR - http://handle.uws.edu.au:8081/1959.7/10426

M3 - Article

SN - 0165-1765

JO - Economics Letters

JF - Economics Letters

ER -

Scaling relationships of Gaussian processes

Abstract

Keywords

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