caa a22 4500 605519250 CHVBK 20210128100729.0 cr unu---uuuuu 210128e20150901xx s 000 0 eng 10.1007/s10559-015-9770-5 doi (NATIONALLICENCE)springer-10.1007/s10559-015-9770-5 Diffusion Approximation of a Poisson Model for Cumulative Excess Returns [Elektronische Daten] [O. Pavlenko, A. Pola, Je. Carkovs] 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. Springer Science+Business Media New York, 2015 diffusion approximation nationallicence volatility of excess returns nationallicence correlation of regression residuals nationallicence Pavlenko O. Riga Technical University, Riga, Latvia aut Pola A. Riga Technical University, Riga, Latvia aut Carkovs Je Riga Technical University, Riga, Latvia aut Cybernetics and Systems Analysis Springer US; http://www.springer-ny.com 51/5(2015-09-01), 772-781 1060-0396 51:5<772 2015 51 10559 https://doi.org/10.1007/s10559-015-9770-5 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10559-015-9770-5 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Pavlenko O. Riga Technical University, Riga, Latvia aut NATIONALLICENCE 700 1- Pola A. Riga Technical University, Riga, Latvia aut NATIONALLICENCE 700 1- Carkovs Je Riga Technical University, Riga, Latvia aut NATIONALLICENCE 773 0- Cybernetics and Systems Analysis Springer US; http://www.springer-ny.com 51/5(2015-09-01), 772-781 1060-0396 51:5<772 2015 51 10559