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FrankSun · 2022年01月29日

老师，提问区其他的提问跟这个问题不符

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000501

问题如下：

1.Which of Busse’s conclusions regarding the exchange rate time series is consistent with both the properties of a covariance-stationary time series and the properties of a random walk?

选项：

A.

Conclusion 1

B.

Conclusion 2

C.

Conclusion 3

解释：

C is correct. A random walk can be described by the equation xt = b0 + b1xt–1+ εt, where b0 = 0 and b1 = 1. So b0 = 0 is a characteristic of a random walk time series. A covariance-stationary series must satisfy the following three requirements:

1. The expected value of the time series must be constant and finite in all periods.

2. The variance of the time series must be constant and finite in all periods.

3. The covariance of the time series with itself for a fixed number of periods in the past or future must be constant and finite in all periods.

b0 = 0 does not violate any of these three requirements and is thus consistent with the properties of a covariance-stationary time series.

老师，提问区其他的提问跟这个问题不符。另外，可以解释一下B为啥不对吗？C不是答案刚开始就说不正确吗，并没有说with drift啊

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星星_品职助教 · 2022年01月30日

同学你好，

题目问这三个conclusion中哪个和covariance-stationary以及random walk的性质都不矛盾。

B说的是mean reverting level是undefined，这个和covariance stationary的性质是矛盾的，covariance stationary有确定的mean reverting level：b0/（1-b1）

C选项说的是b0可以为0，这个是两者都满足的。covariance stationary和random walk都是只管b1，b0可以为0。

如果random walk的b0为0，就是random walk without a drift。

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2023-10-19 22:14 1 · 回答

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