王同学回答（1）
Wendy2018-10-18 09:28:25
Wendy同学你好
第一题和第二题分别是哪个？我这里只看到一题
A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.215 – 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?
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A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.215 – 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?
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A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 34%, and he regression output estimates the following regression relationship: Y = 0.215 - 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?
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老师,这两个题目.谢谢您.
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同学你好
第一题，问的expected correlation for May 2014 ，也就是新的相关性对等于多少。看懂下面这个图形，这个题就会解答了
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同学你好
第二题，问的是autocorrelation。autocorrelation+mean reversion=1
通过上题类似的分析可知，mean reversion=0.77，所以autocorrelation=1-0.77=0.23
这两个题是同一个知识点，但是问法不一样
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