Autoregression model of the variation of a financial asset price with jumps at random time moments
We consider autoregression model changes in the price of financial assets price changes in moments of transactions forming Poisson flow of events of constant intensity. They are the main features of the yen process changes (mean, variance, correlation function) and shows its asymptotic normality.
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Authors
| Name | Organization | |
| Sukhushina Elena V. | Tomsk State University | terpugov@fpmk.tsu.tomsk.su |
| Terpugov Alexandr F. | Tomsk State University | terpugov@fpmk.tsu.tomsk.su |
References
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