- UID
- 218221
- 帖子
- 525
- 主题
- 107
- 注册时间
- 2011-5-26
- 最后登录
- 2012-9-12
|
yellayella Wrote:
-------------------------------------------------------
> do you guys know, why, when invetments are
> serially correlated the estimate of standard
> deviation is lower?
positive serial correlation of returns suggests that the return in the next period will be very similar to the return in the current period and will be a linear function of current return and this will obviously reduce the variability of returns between periods and SD will be understated |
|