Câu hỏi:  Which one of the following best describes most series of asset prices?

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30/08/2021
3.5 10 Đánh giá

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

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Câu hỏi khác cùng đề thi
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

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Câu 2: A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:

A. A white noise process

B. A covariance stationary process

C. An autocorrelated process

D. A moving average process

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Câu 6: Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?

A. DF tests have low power to reject the null hypothesis of a unit root, particularly in small samples

B.  DF tests are always over-sized

C. DF tests do not allow the researcher to test hypotheses about the cointegrating vector

D. DF tests can only find at most one cointegrating relationship

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