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一只可爱的猪 · 2021年04月25日

不太明白

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000501

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.

这个知识点可以解释一下吗


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1 个答案

星星_品职助教 · 2021年04月26日

同学你好，

这道题问的是这三个结论中，哪个结论和random walk，covariance stationary都不矛盾。

conclusion 1：方差一直随时间在变化，所以和covariance stationary矛盾了

conslusion 2：不存在均值回归，所以还是和covariance stationary矛盾了

conclusion 3：b0可以为0。只有这一条和random walk，covariance stationary都不矛盾。

random walk和covariance stationary看的都是b1，而b0是什么无所谓。如果random walk序列的b0=0，就是random walk without a drift。covariance stationary序列对b0也没有要求。所以选择这一个conclusion，即C选项。

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