Publicación: Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets
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Fecha
2021
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info:eu-repo/semantics/openAccess
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Elsevier
Resumen
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.
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Categorías UNESCO
Palabras clave
Stylized facts, Time scaling, Outlier, Heteroskedasticity, Leptokurtosis
Citación
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad