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comment Time series (stochastic process) estimating parameters using characteristic function
No, this process is non Markovian. Basically, I have stochastic model for an assets with stochastic volatility (I've tryied to estimate Heston model and BNS model using theirs CF). For example in Heston model it is proved, that process $\{A_1 - A_0, A_2 - A_1,...,A_n - A_{n-1}\} $ is Markovian.
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asked Time series (stochastic process) estimating parameters using characteristic function