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yuyukou · 2022年04月10日

error term

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

1 个答案

李坏_品职助教 · 2022年04月10日

嗨,努力学习的PZer你好:


白噪声过程的定义就是不存在自相关性的,没有autocorrelation。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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2024-03-15 16:10 1 · 回答

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2022-11-03 13:25 1 · 回答

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

2021-01-02 17:17 3 · 回答