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6038Sign and Size of Lag-1 AutocorrelationA stationary spread obeys X (t+1) = -0.4 X t + epsilon (t+1) with iid zero-mean shocks. What is the lag-1 autocorrelation of X t, and what does its sign say about period-to-period dynamics?统计中等数值题未尝试面试订阅6040Two-Period Variance Ratio of an AR(1)Returns are generated by a stationary AR(1) with autoregressive coefficient 0.5. The Lo-MacKinlay variance ratio at lag 2 is VR(2) = Var(r t + r (t+1)) / (2 Var(r t)). Compute VR(2) and state whether it signals momentum or mean reversion.统计困难数值题未尝试面试订阅