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Roseline · 2021年01月02日

问一道题:NO.PZ2020033001000055

问题如下:

In a regression-based hedge, there are two approaches: yields-on-yields approach and changes-in-yields-on-changes-in-yields approach. Which of the following statement most accurately describes the error terms in these two approaches?

选项:

A.

The error terms are totally uncorrelated in these two approaches.

B.

Yield-on- yield error terms are totally correlated, and change-on-change error terms are not.

C.

Change-on-change error terms are totally correlated, and yield-on-yield error terms are not.

D.

In both approaches, error terms are correlated over time.

解释:

D is correct.

考点:Regression-based hedge

解析:

In yield-on-yield approach, error terms are somewhat correlated over time. In the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.

由于两种方法都是采用时间序列数据做回归,而利率在现实中是会受上一期数据影响的,所以都会导致 error term 自相关,此处不是重要知识点,了解即可。

老师好,题目里面提到的yields-on-yields approach和 changes-in-yields-on-changes-in-yields approach都是什么方法?课上好像没有讲到过。

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小刘_品职助教 · 2021年01月04日

朵朵0927 · 2022年02月26日

老师您好,请教下您我没有找到考题的目的?^

小刘_品职助教 · 2021年01月04日

同学你好,

这两张方法是在原版书regression-hedge那张讲解的,两个方法中回归的方程不太一样,下图供你参考,不是考察的重点。

 

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