Self Similarity in Long Horizon Returns


Daily return distributions are limit laws associated with pure jump processes. The processes are a combination of identically distributed increments and a selfsimilar distribution. The presence of a selfsimilar component... [ view full abstract ]


  1. Dilip Madan (Robert H. Smith School of Business)

Topic Areas

Asymptotics , Econometrics , Jump-Diffusions


TU-P-BU » Econometrics (14:30 - Tuesday, 17th July, Burke Theater)

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