Denote the observed return bynbsp isnbspserially correlated, Financial Management

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Denote the observed return bynbsp isnbspserially correlated

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 .

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Financial Management: Denote the observed return bynbsp isnbspserially correlated

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Financial Management: Denote the observed return bynbsp isnbspserially correlated

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