1766统计简单derivationshort
What Remains After Controlling the Hedge Channel
题目
A signal X changes the hedge ratio H immediately, and both X and H affect desk PnL Y. The direct effect of X on Y is +1.2 bps, while the channel through H contributes another +0.8 bps. If H is measured perfectly and you regress Y on X and H, what effect does the coefficient on X identify, and what number should it equal?
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你的答案
effect_identified
numerical_value