NO.PZ2020033001000055
问题如下：
In a regression-based hedge, there are two approaches: yields-on-yields approach and changes-in-yields-on-changes-in-yields approach. Which of the following statement most accurately describes the error terms in these two approaches?
选项：
A.The error terms are totally uncorrelated in these two approaches.
B.Yield-on- yield error terms are totally correlated, and change-on-change error terms are not.
C.Change-on-change error terms are totally correlated, and yield-on-yield error terms are not.
D.In both approaches, error terms are correlated over time.
解释：
D is correct.
考点：Regression-based hedge
解析：
In yield-on-yield approach, error terms are somewhat correlated over time. In the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.
由于两种方法都是采用时间序列数据做回归，而利率在现实中是会受上一期数据影响的，所以都会导致 error term 自相关，此处不是重要知识点，了解即可。
如题
