开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

3 个答案
已采纳答案

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。

 

  • 3

    回答
  • 1

    关注
  • 549

    浏览
相关问题

NO.PZ2020033001000055 问题如下 In a regression-basehee, there are two approaches: yiel-on-yiel approaanchanges-in-yiel-on-changes-in-yiel approach. Whiof the following statement most accurately scribes the error terms in these two approaches? A.The error terms are totally uncorrelatein these two approaches. B.Yielon- yielerror terms are totally correlate anchange-on-change error terms are not. C.Change-on-change error terms are totally correlate anyielon-yielerror terms are not. In both approaches, error terms are correlateover time. is correct.考点Regression-basehee解析In yielon-yielapproach, error terms are somewhcorrelateover time. In the change-on-change approach, the error terms are completely correlate Thus, error terms are correlateover 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。 如题

2024-03-15 16:10 1 · 回答

NO.PZ2020033001000055 问题如下 In a regression-basehee, there are two approaches: yiel-on-yiel approaanchanges-in-yiel-on-changes-in-yiel approach. Whiof the following statement most accurately scribes the error terms in these two approaches? A.The error terms are totally uncorrelatein these two approaches. B.Yielon- yielerror terms are totally correlate anchange-on-change error terms are not. C.Change-on-change error terms are totally correlate anyielon-yielerror terms are not. In both approaches, error terms are correlateover time. is correct.考点Regression-basehee解析In yielon-yielapproach, error terms are somewhcorrelateover time. In the change-on-change approach, the error terms are completely correlate Thus, error terms are correlateover 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。 老师在这题当中描述的都是残差项是否有相关性,能建立回归方程的前提不就是残差项不相关吗?那应该是A啊

2022-11-03 13:25 1 · 回答

NO.PZ2020033001000055问题如下 In a regression-basehee, there are two approaches: yiel-on-yiel approaanchanges-in-yiel-on-changes-in-yiel approach. Whiof the following statement most accurately scribes the error terms in these two approaches?A.The error terms are totally uncorrelatein these two approaches.B.Yielon- yielerror terms are totally correlate anchange-on-change error terms are not.C.Change-on-change error terms are totally correlate anyielon-yielerror terms are not.In both approaches, error terms are correlateover time.is correct.考点Regression-basehee解析In yielon-yielapproach, error terms are somewhcorrelateover time. In the change-on-change approach, the error terms are completely correlate Thus, error terms are correlateover 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,请问在FRM一级的一元回归中,一般情况下shock(非高斯白噪声),那shock是有autocorrelation的,也是有相关性的吧如果高斯白噪声,那就是独立通分布,那相关性为0,也没有autocorrelation,是么

2022-04-10 19:12 1 · 回答