Apparent scaling

Ole Barndorff-Nielsen and Karsten Prause ()
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Karsten Prause: Mathematische Stochastik, FDM, UniversitÄt Freiburg, Eckerstrañe 1, D-79104 Freiburg, Germany Manuscript

Finance and Stochastics, 2001, vol. 5, issue 1, 103-113

Abstract: A number of authors have reported empirically observed scaling laws of the absolute values of log returns of stocks and exchange rates, with a scaling coefficient in the order of 0.58-0.59. It is suggested here that this phenomenon is largely due to the semi-heavy tailedness of the distributions concerned rather than to real scaling.

JEL-codes: C51 C52 G10 G14 (search for similar items in EconPapers)
Date: 2001-01-10
Note: received: October 1999; final version received: February 2000
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