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Celestine · 2020年01月22日

问一道题：NO.PZ201709270100000501 第1小题 [ CFA II ]

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

1.Which of Busse’s conclusions regarding the exchange rate time series is consistent with both the properties of a covariance-stationary time series and the properties of a random walk?

选项：

A.

Conclusion 1

B.

Conclusion 2

C.

Conclusion 3

解释：

C is correct. A random walk can be described by the equation xt = b0 + b1xt–1+ εt, where b0 = 0 and b1 = 1. So b0 = 0 is a characteristic of a random walk time series. A covariance-stationary series must satisfy the following three requirements:

1. The expected value of the time series must be constant and finite in all periods.

2. The variance of the time series must be constant and finite in all periods.

3. The covariance of the time series with itself for a fixed number of periods in the past or future must be constant and finite in all periods.

b0 = 0 does not violate any of these three requirements and is thus consistent with the properties of a covariance-stationary time series.

没太明白这个题目的问题，符合random  walk的话不是non-stationary吗？怎么可能同时符合stationary呢？

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星星_品职助教 · 2020年01月22日

同学你好，

这道题问的是哪个Conclusion可以既不违反random walk，也不违反covariance stationary。也就是说这个Conclusion成立的话，也不能直接排除方程是random walk或covariance stationary的可能。

问的比较别扭，可以从选项入手。Conclusion 1说的是方差不恒定，所以肯定违反了covariance stationary。Conclusion 2满足random walk，但这样肯定就不能满足covariance stationary了。

只有Conclusion 3，即使b0=0，也无法说明什么，这个时间序列仍然有可能是random walk，因为没说b1的情况。也无法排除是covariance stationary的可能。这道题说的就是这个意思。

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NO.PZ201709270100000501 问题如下 1.Whiof Busse’s conclusions regarng the exchange rate time series is consistent with both the properties of a covariance-stationary time series anthe properties of a ranm walk? A.Conclusion 1 B.Conclusion 2 C.Conclusion 3 C is correct. A ranm walk cscribethe equation xt = + b1xt–1+ εt, where = 0 an= 1. So = 0 is a characteristic of a ranm walk time series. A covariance-stationary series must satisfy the following three requirements:1. The expectevalue of the time series must constant anfinite in all perio.2. The varianof the time series must constant anfinite in all perio.3. The covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio.= 0 es not violate any of these three requirements anis thus consistent with the properties of a covariance-stationary time series. 不违反ranm walk的性质 但是ranm walk性质就是b=0啊

2024-08-25 11:24 1 · 回答

NO.PZ201709270100000501问题如下1.Whiof Busse’s conclusions regarng the exchange rate time series is consistent with both the properties of a covariance-stationary time series anthe properties of a ranm walk? A.Conclusion 1B.Conclusion 2C.Conclusion 3C is correct. A ranm walk cscribethe equation xt = + b1xt–1+ εt, where = 0 an= 1. So = 0 is a characteristic of a ranm walk time series. A covariance-stationary series must satisfy the following three requirements:1. The expectevalue of the time series must constant anfinite in all perio.2. The varianof the time series must constant anfinite in all perio.3. The covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio.= 0 es not violate any of these three requirements anis thus consistent with the properties of a covariance-stationary time series. 请问covariance-stationary和ranm walk是对立关系吗？

2023-10-19 22:14 1 · 回答

NO.PZ201709270100000501 老师，提问区其他的提问跟这个问题不符。另外，可以一下B为啥不对吗？C不是答案刚开始就说不正确吗，并没有说with ift啊

2022-01-29 15:42 1 · 回答

NO.PZ201709270100000501 这个知识点可以一下吗

2021-04-25 21:46 1 · 回答

Conclusion 2 Conclusion 3 C is correct. A ranm walk cscribethe equation xt = + b1xt–1+ εt, where = 0 an= 1. So = 0 is a characteristic of a ranm walk time series. A covariance-stationary series must satisfy the following three requirements: 1. The expectevalue of the time series must constant anfinite in all perio. 2. The varianof the time series must constant anfinite in all perio. 3. The covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. = 0 es not violate any of these three requirements anis thus consistent with the properties of a covariance-stationary time series. 看了前面人问的问题，有一点想确认下，ranm walk是不是包含ranm walk with a ift？如果不是，那ranm walk和simple ranm walk就是一回事？

2020-12-08 21:11 1 · 回答