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我们 · 2020年04月15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%.

请问系数0.77为什么可以作为mean reversion rate呢?

1 个答案

袁园_品职助教 · 2020年04月16日

同学你好!

这里是从 mean reversion rate 的定义直接得出的,可以参考书上的推导过程

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26%. 30%. 33% The autocorrelation for a one-periolis 23% for the same sample. The sum of the mereversion rate (77% given the beta coefficient of-0.77) anthe one-perioautocorrelation rate will always equ100%.请问 这里的意思是 滞后一期的 regression 系数和滞后一期的mereversion 系数 之和等于一吗? 滞后一期的 regression系数为0.77?

2020-09-02 11:29 1 · 回答

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2020-08-11 23:42 1 · 回答

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?

2020-03-03 23:32 1 · 回答

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2020-02-29 14:31 1 · 回答