Scaling issues for risky asset modelling
In this paper we investigate scaling properties of risky asset returns and make a strong case (1) against the need for multifractal models and (2) in favor of the requirement of heavy tailed distributions. Amongst the standard empirical properties of risky asset returns are an autocorrelation function for the returns which dies away rapidly and is statistically insignificant beyond a few lags, and also autocorrelation functions of squares and absolute values of returns which die away very...[Show more]
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|Source:||Mathematical Methods of Operations Research|
|01_Heyde_Scaling_issues_for_risky_asset_2009.pdf||496.6 kB||Adobe PDF||Request a copy|
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