Scaling relationships of Gaussian processes

Jonathan Batten; Craig Ellis

doi:10.1016/S0165-1765(01)00436-0

Scaling relationships of Gaussian processes

Jonathan Batten^*, Craig Ellis

^*Corresponding author for this work

Macquarie Graduate School of Management

Research output: Contribution to journal › Article › peer-review

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
Pages (from-to)	291-296
Number of pages	6
Journal	Economics Letters
Volume	72
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(01)00436-0
Publication status	Published - Sep 2001

Keywords

C49
Currency returns
F31
G15
Scaling
Volatility

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10.1016/S0165-1765(01)00436-0

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.",

keywords = "C49, Currency returns, F31, G15, Scaling, Volatility",

author = "Jonathan Batten and Craig Ellis",

year = "2001",

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KW - F31

KW - G15

KW - Scaling

KW - Volatility

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EP - 296

JO - Economics Letters

JF - Economics Letters

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Scaling relationships of Gaussian processes

Abstract

Keywords

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