Câu hỏi: Which one of the following best describes most series of asset prices?
A. An independently and identically distributed (iid, i.e. “completely random”) process
B. A random walk with drift
C. An explosive process
D. A deterministic trend process
Câu 1: A normal distribution has coefficients of skewness and excess kurtosis which are respectively:
A. 0 and 0
B. 0 and 3
C. 3 and 0
D. Will vary from one normal distribution to another
30/08/2021 10 Lượt xem
Câu 2: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?
A. The current value of y
B. Zero
C. The historical unweighted average of y
D. An exponentially weighted average of previous values of y
30/08/2021 9 Lượt xem
Câu 3: If a residual series is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?
A. Close to zero
B. Close to two
C. Close to four
D. Close to one
30/08/2021 9 Lượt xem
Câu 4: Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?
A. A slowly decaying acf, and a pacf with 3 significant spikes
B. A slowly decaying pacf and an acf with 3 significant spikes
C. A slowly decaying acf and pacf
D. An acf and a pacf with 3 significant spikes
30/08/2021 10 Lượt xem
Câu 5: Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?
A. All roots of the characteristic equation must lie outside the unit circle
B. All roots of the characteristic equation must lie inside the unit circle
C. All roots must be smaller than unity
D. At least one of the roots must be bigger than one in absolute value
30/08/2021 7 Lượt xem
Câu 6: Consider the following picture and suggest the model from the following list that best characterises the process:
A. An AR(1)
B. An AR(2)
C. An ARMA(1,1)
D. An MA(3)
30/08/2021 7 Lượt xem

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