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

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dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:37Z
dc.date.available2024-05-20T11:24:37Z
dc.date.issued2021
dc.description.abstractStylized 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.frl.2020.101510
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11920
dc.journal.titleFinance Research Letters
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsStylized facts
dc.subject.keywordsTime scaling
dc.subject.keywordsOutlier
dc.subject.keywordsHeteroskedasticity
dc.subject.keywordsLeptokurtosis
dc.titleIs there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial marketses
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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