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Dorothy · 2020年03月03日

问一道题:NO.PZ2016070201000039

问题如下:

A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on this historical data, the long-run mean correlation of Dow stocks was 34%, and the regression output estimates the following regression relationship: Y = 0.262 - 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?

选项:

A.

23%.

B.

26%.

C.

30%.

D.

33%

解释:

The autocorrelation for a one-period lag is 23% for the same sample. The sum of the mean reversion rate (77% given the beta coefficient of-0.77) and the one-period autocorrelation rate will always equal 100%.

老师,我是通过计算求出来的23%不知道对不对。33%按照0.77回归率下一期应该是33.77%,那么自相关性应该为(33.77-33)/33=23.3%,这样理解是否正确?

1 个答案

品职答疑小助手雍 · 2020年03月04日

同学你好,单期自相关率+均值回归率=1,所以自相关率只要拿1减去均值回归率就可以了。 知识点在讲义118页。

你说的这个“33%按照0.77回归率下一期应该是33.77%”这句话我没看懂。

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2020-09-02 11:29 1 · 回答

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2020-08-11 23:42 1 · 回答

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2020-04-15 17:10 1 · 回答

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2020-02-29 14:31 1 · 回答