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,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