NO.PZ2019070101000003
问题如下：
Which of the following about advantages of nonparametric methods compared to parametric methods is incorrect?
选项：
A.
Nonparametric models do not require assumptions regarding the entire distribution of returns to estimate VaR.
B.
Large sample sizes are required to precisely estimate volatility using historical simulation.
C.
Multivariate density estimation (MDE) allows for weights to vary based on how relevant the data is to the current market environment, regardless of the timing of the most relevant data.
D.
Fat tails, skewness, and other deviations from some assumed distributions are no longer a concern in the estimation process for nonparametric methods.
解释：
B is correct.
考点：Nonparametric Methods
解析：这道题是选出说法错误的选项。
非参数法不需要假设假设return的分布，所以可以考虑到肥尾和有偏分布的特点。A、D选项正确。MDE方法可以基于当前市场状况来分配权重，所以它比较灵活，可以把经济变量引入到模型中。C选项说法正确。
需要大量使用历史数据是非参数法计算Var的一个缺点，B选项说法不正确。
发现一个问题，做的很多题基础课视频都没有讲到
