Scaling Relationships of Gaussian Processes

Posted: 26 May 2003

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: Scaling, Volatility, Currency returns

JEL Classification: C49, F31, G15

Suggested Citation

Batten, Jonathan A. and Ellis, Craig, Scaling Relationships of Gaussian Processes. Available at SSRN: https://ssrn.com/abstract=411362

Jonathan A. Batten (Contact Author)

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Craig Ellis

Education Centre Australia ( email )

Sydney
Australia

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