Calculate the first three lags of autocorrelations

Assignment Help Financial Management

Reference no: EM131224823

Let r_t be the log return of an asset at time t. Assume that {r_t} 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 r_t. Denote the observed return by . Is serially correlated? If yes, calculate the first three lags of autocorrelations of .

Reference no: EM131224823

Questions Cloud

Evaluate the strategic issues including the degree : Synthesize concerns and opportunities, and articulate them as strategic issues. What are the critical issues? Why are these particular issues critical? Evaluate the strategic issues including the degree to which they may impact the strategic posi..

Characterize the buying behavior of business : Describe at least 3 things that characterize the buying behavior of a business or organization. State what type of business or organization you are discussing if you are focusing on some specific organization/company. Point out how you think business..

What is an advanced persistent threat : What is an Advanced Persistent Threat (APT)? What is the goal of an APT? How can a business protect itself from an APT? What tools can be used to detect an APT? Be sure to cite sources.

Which organizational model would you most prefer to work in : Describe succinctly how the organizational models at either the state or local level differ in terms of their structure and operation. Which organizational model would you most prefer to work in?

Calculate the first three lags of autocorrelations : Denote the observed return by . Is serially correlated? If yes, calculate the first three lags of autocorrelations of .

Analyze apple''s current overall marketing strategy : Use the Internet to research the Apple Corporation, its current position and reputation regarding ethical and social responsibility, and the strategies that it currently employs to market its products.

Password-cracking methods : 1) Using your book and the Internet, please explain the following Password-Cracking Methods:

What is the significance to healthcare administrators : Education appears to be an indicator of improved health in non-Hispanic Caucasians than other groups. What is contributing to this disparity? What is the significance to healthcare administrators?

Calculate the utilization of the three departments : On average, the call center receives 200 calls per hour, where 50% of the calls are for the Sales Department, 26% of the calls are for the Return Department, 18% of the calls are for warranty related issues, and the rest of the 6% are for billing ..

User Account

All Pages