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toffee · 2023年05月11日

只要用的历史数据,估计的数值就太精确?

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NO.PZ202206070100000102

问题如下:

With respect to his answer to Brown’s question, O’Reilly is most likely:

选项:

A.correct. B.incorrect with respect to asynchronism. C.incorrect with respect to variances and correlations.

解释:

Solution

A is correct. O’Reilly’s answer is entirely correct as stated.

B is incorrect. O’Reilly’s answer is entirely correct as stated. High-frequency data are more sensitive to asynchronism.

C is incorrect. O’Reilly’s answer is entirely correct as stated. High-frequency data produce more precise variances and co-variances (and less precise means).

A是正确的。O’Reilly的回答完全正确。

B是错误的。高频数据对异步更加敏感,即高频数据更容易产生异步性的问题。比如用每天的数据观测美国和欧洲股票市场,因为两地存有时差,所以就会出现异步性。但如果是用月度数据观测,这种时差就可以忽略不计。

C是错误的。高频数据产生了更大容量的样本数据,所以能估计出更精确的方差和协方差。但是对于均值而言,只要用的历史数据,估计的数值就太精确。这也是根据实务观测到的结果。

答案讲解是不是少一个字? 不太精确吧

1 个答案

源_品职助教 · 2023年05月11日

嗨,从没放弃的小努力你好:


是的,这里的确漏了一个字,我们稍后修正一下。谢谢同学指正~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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