NO.PZ2018122701000059
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：
D is correct.
考点Copula Functions
解析：D选项涉及correlation有关的结论，correlation在经济好的时候比较低，在经济差的时候会增加，所以短期的相关性系数是不稳定的。
短期内经济不会发生大的变动，为什么correlation estimate不是stable的呢？
