González Sánchez, Mariano2024-05-202024-05-2020211544-6123https://doi.org/10.1016/j.frl.2020.101510https://hdl.handle.net/20.500.14468/11920Stylized 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.eninfo:eu-repo/semantics/openAccessjournal articleStylized factsTime scalingOutlierHeteroskedasticityLeptokurtosis