Scaling relationships of Gaussian processes

Jonathan Batten*, Craig Ellis

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


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 languageEnglish
Pages (from-to)291-296
Number of pages6
JournalEconomics Letters
Issue number3
Publication statusPublished - Sep 2001


  • C49
  • Currency returns
  • F31
  • G15
  • Scaling
  • Volatility


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