Diffusion Approximation of a Poisson Model for Cumulative Excess Returns
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| 024 | 7 | 0 | |a 10.1007/s10559-015-9770-5 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10559-015-9770-5 | ||
| 245 | 0 | 0 | |a Diffusion Approximation of a Poisson Model for Cumulative Excess Returns |h [Elektronische Daten] |c [O. Pavlenko, A. Pola, Je. Carkovs] |
| 520 | 3 | |a The paper analyzes the regressive equation for cumulative excess returns with residual conditional variances as a GARCH(1,1) process and statistical uncertainty as an AR(1) Gaussian process with correlation parameter ρ. Under assumption that the lengths of time intervals between transactions are independent exponentially distributed random variables with sufficiently small mean h, we derive diffusion approximation equations. The continuous time limit equation allows concluding that a stationary conditional variance exists. Moreover, we derive this stationary distribution as inverse gamma distribution and analyze the dependence of this distribution on the correlation parameter ρ. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a diffusion approximation |2 nationallicence | |
| 690 | 7 | |a volatility of excess returns |2 nationallicence | |
| 690 | 7 | |a correlation of regression residuals |2 nationallicence | |
| 700 | 1 | |a Pavlenko |D O. |u Riga Technical University, Riga, Latvia |4 aut | |
| 700 | 1 | |a Pola |D A. |u Riga Technical University, Riga, Latvia |4 aut | |
| 700 | 1 | |a Carkovs |D Je |u Riga Technical University, Riga, Latvia |4 aut | |
| 773 | 0 | |t Cybernetics and Systems Analysis |d Springer US; http://www.springer-ny.com |g 51/5(2015-09-01), 772-781 |x 1060-0396 |q 51:5<772 |1 2015 |2 51 |o 10559 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10559-015-9770-5 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10559-015-9770-5 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Pavlenko |D O. |u Riga Technical University, Riga, Latvia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Pola |D A. |u Riga Technical University, Riga, Latvia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Carkovs |D Je |u Riga Technical University, Riga, Latvia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Cybernetics and Systems Analysis |d Springer US; http://www.springer-ny.com |g 51/5(2015-09-01), 772-781 |x 1060-0396 |q 51:5<772 |1 2015 |2 51 |o 10559 | ||