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。
老师，请问在FRM一级的一元回归中，一般情况下shock（非高斯白噪声），那shock是有autocorrelation的，也是有相关性的吧 如果高斯白噪声，那就是独立通分布，那相关性为0，也没有autocorrelation，是么
