Skip navigation
Skip navigation

Scaling issues for risky asset modelling

Heyde, C C

Description

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]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/29490
Source: Mathematical Methods of Operations Research
DOI: 10.1007/s00186-008-0253-6

Download

File Description SizeFormat Image
01_Heyde_Scaling_issues_for_risky_asset_2009.pdf496.6 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  12 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator