想知道一下b

问题如下：

The dependence structure between the returns of financial assets plays an important role in risk measurement. For liquid markets, which of the following statements is incorrect?

选项：

A.Correlation is a valid measure of dependence between random variables for only certain types of return distributions.

B.Even if the return distributions of two assets have a correlation of zero, the returns of these assets are not necessarily independent.

C.Copulas make it possible to model marginal distributions and the dependence structure separately.

D.Correlation estimates based on short lookback horizons (three months or less) are typically very stable.

解释：

Correlation estimates based on short lookback periods can be very unstable because they reflect short-term changes in the markets. A longer lookback horizon provides a more stable estimate of correlation, capturing more of the long-term relationship between assets.

因为数据的短期波动是大于长期数据的波动性，所以短期数据出了问题相关系数不稳定。