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A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to find the mean reversion rate to
- A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to find the mean reversion rate to be 0.77. What should be the estimated one-period autocorrelation for this time period?
- 23%.
- 26%.
- 30%.
- 33%.
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Stochastic Volatility In Financial Markets Crossing The Bridge To Continuous Time
Authors: Antonio Mele, Fabio Fornari
1st Edition
0792378423, 1461545331, 9780792378426, 9781461545330
