Let rt be the log return of an asset at time T. Assume that {rt } is

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Let rt be the log return of an asset at time T. Assume that {rt } is a Gaussian white noise series with mean 0.05 and variance 1.5.

Suppose that the probability of a trade at each time point is 40% and is independent of rt. Denote the observed return by rot. Is rot serially correlated? If yes, calculate the first three lags of autocorrelations of rot.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Let rt be the log return of an asset at time T. Assume that {rt } is

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Analysis Of Financial Time Series

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