IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v72y2001i3p291-296.html
   My bibliography  Save this article

Scaling relationships of Gaussian processes

Author

Listed:
  • Batten, Jonathan
  • Ellis, Craig

Abstract

No abstract is available for this item.

Suggested Citation

  • Batten, Jonathan & Ellis, Craig, 2001. "Scaling relationships of Gaussian processes," Economics Letters, Elsevier, vol. 72(3), pages 291-296, September.
    • Handle: RePEc:eee:ecolet:v:72:y:2001:i:3:p:291-296
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(01)00436-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    2. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management.
    3. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    2. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Post-Print halshs-00174996, HAL.
    2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    3. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    4. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    5. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
    6. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    7. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    8. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    9. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    10. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    11. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    12. Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily euro-dollar volatility," Post-Print halshs-00118789, HAL.
    14. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
    15. Wang, Jying-Nan & Yeh, Jin-Huei & Cheng, Nick Ying-Pin, 2011. "How accurate is the square-root-of-time rule in scaling tail risk: A global study," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1158-1169, May.
    16. Richard T. Baillie & Aydin A. Cecen & Young-Wook Han, 2000. "High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 247-267, September.
    17. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016. "Risks for the long run: Estimation with time aggregation," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
    18. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    19. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
    20. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:72:y:2001:i:3:p:291-296. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.