标题: 13: Time-Series Analysis-LOS c习题精选 [打印本页]
作者: 土豆妮 时间: 2010-4-8 15:38 标题: [2010]Session 3:-Reading 13: Time-Series Analysis-LOS c习题精选
Session 3: Quantitative Methods: Quantitative
Methods for Valuation
Reading 13: Time-Series Analysis
LOS c: Explain the requirement for a time series to be covariance stationary and discuss the significance of a series not being stationary.
To qualify as a covariance stationary process, which of the following does not have to be true?
|
A) |
Covariance(xt, xt-1) = Covariance(xt, xt-2). | |
|
|
|
C) |
Covariance(xt, xt-2) = Covariance(xt, xt+2). | |
作者: 土豆妮 时间: 2010-4-8 15:38
To qualify as a covariance stationary process, which of the following does not have to be true?
|
A) |
Covariance(xt, xt-1) = Covariance(xt, xt-2). | |
|
|
|
C) |
Covariance(xt, xt-2) = Covariance(xt, xt+2). | |
If a series is covariance stationary then the unconditional mean is constant across periods. The unconditional mean or expected value is the same from period to period: E[xt] = E[xt+1]. The covariance between any two observations equal distance apart will be equal, e.g., the t and t-2 observations with the t and t+2 observations. The one relationship that does not have to be true is the covariance between the t and t-1 observations equaling that of the t and t-2 observations.
作者: 土豆妮 时间: 2010-4-8 15:38
Which of the following is NOT a requirement for a series to be covariance stationary? The:
|
A) |
expected value of the time series is constant over time. | |
|
B) |
covariance of the time series with itself (lead or lag) must be constant. | |
|
C) |
time series must have a positive trend. | |
作者: 土豆妮 时间: 2010-4-8 15:39
Which of the following is NOT a requirement for a series to be covariance stationary? The:
|
A) |
expected value of the time series is constant over time. | |
|
B) |
covariance of the time series with itself (lead or lag) must be constant. | |
|
C) |
time series must have a positive trend. | |
A time series can be covariance stationary and have either a positive or a negative trend.
作者: 土豆妮 时间: 2010-4-8 15:39
Which of the following statements regarding covariance stationarity is TRUE?
|
A) |
A time series that is covariance stationary may have residuals whose mean changes over time. | |
|
B) |
The estimation results of a time series that is not covariance stationary are meaningless. | |
|
C) |
A time series may be both covariance stationary and have heteroskedastic residuals. | |
作者: 土豆妮 时间: 2010-4-8 15:39
Which of the following statements regarding covariance stationarity is TRUE?
|
A) |
A time series that is covariance stationary may have residuals whose mean changes over time. | |
|
B) |
The estimation results of a time series that is not covariance stationary are meaningless. | |
|
C) |
A time series may be both covariance stationary and have heteroskedastic residuals. | |
Covariance stationarity requires that the expected value and the variance of the time series be constant over time.
作者: luqian55 时间: 2010-5-30 12:13
thanks
作者: annyyu 时间: 2010-12-1 05:13
re
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |