Gençay, Ramazan; Xu, Zhaoxia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD-DEM) returns. The data set is ten years of 5-minute returns. The cumulative return distributions of positive and negative tails at di.erent time intervals are linear in the...