Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets

González-Sánchez, Mariano . (2021) Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets. Finance Research Letters, 38: 101510

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Título Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets
Autor(es) González-Sánchez, Mariano
Materia(s) Economía
Abstract Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outliers entails other stylized facts. Also, a methodology for identifying outliers is proposed and applied to both simulated series and 1300 market assets. Results indicate that all market returns have time scaling (between 2 and 28 days) and, in 95% of cases, daily outliers represent less than 6% of observations.
Palabras clave Stylized facts
Time scaling
Outlier
Heteroskedasticity
Leptokurtosis
Editor(es) Elsevier
Fecha 2021
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0006
DOI - identifier https://doi.org/10.1016/j.frl.2020.101510
ISSN - identifier 1544-6123
Nombre de la revista Finance Research Letters
Publicado en la Revista Finance Research Letters, 38: 101510
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Finance Research Letters, is available online at the publisher's website: Elsevier, https://doi.org/10.1016/j.frl.2020.101510
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Finance Research Letters, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.frl.2020.101510

 
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Creado: Fri, 12 Jan 2024, 22:46:12 CET