Abstract
The objective of research in this chapter is to demonstrate the implications for scaling financial asset risk when long-term returns do not follow a Gaussian random walk. Using a selection of Australian Stock Exchange (ASX) Top 50 equities, volatility at horizons ranging from 1 day to 1 year is measured directly and for longer time horizons, by linearly rescaling short-horizon volatility. The research shows that even small deviations from pure random behavior can lead investors to significantly misestimate their real level of risk.
Original language | English |
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Title of host publication | Stock Market Volatility |
Editors | Greg N. Gregoriou |
Place of Publication | U.S. |
Publisher | CRC Press |
Pages | 147-161 |
Number of pages | 15 |
ISBN (Electronic) | 9781420099553 |
ISBN (Print) | 9781420099546 |
DOIs | |
Publication status | Published - 2009 |