Scaling relationships of Gaussian processes

DOI10.1016/S0165-1765(01)00436-0MaRDI QIDQ5941397zbMATH OpenFDO

Authors Jonathan Batten, Craig Ellis

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00436-0

zbMATH Keywords

currency returnsscalingvolatility

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3585754 (Why is no real title available?)
• Temporal Aggregation of Garch Processes

Cited in

(3)

• On estimating the rate of return
• A level-crossing-based scaling dimensionality transform applied to stationary Gaussian processes
• Scaling laws: a viable alternative to value at risk?

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