Board logo

标题: Reading 13: Time-Series Analysis-LOS c 习题精选 [打印本页]
作者: 土豆妮    时间: 2011-3-3 14:47     标题: [2011]Session 3-Reading 13: Time-Series Analysis-LOS c 习题精选

Session 3: 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 that is not 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).
B)
 E[xt] = E[xt+1].
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: 2011-3-3 14:48

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: 2011-3-3 14:48

Which of the following statements regarding covariance stationarity is CORRECT?

A)
 A time series that is covariance stationary may have residuals whose mean changes over time.
B)
 A time series may be both covariance stationary and have heteroskedastic residuals.
C)
 The estimation results of a time series that is not covariance stationary are meaningless.

Covariance stationarity requires that the expected value and the variance of the time series be constant over time.





欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) Powered by Discuz! 7.2