Question
A stylized fact of asset returns is that they exhibit: a. No time-variation in volatility b. Persistent time-variation in volatility that is well-captured by an
A stylized fact of asset returns is that they exhibit:
a. No time-variation in volatility
b. Persistent time-variation in volatility that is well-captured by an autoregressive model.
c. Asymmetry in the distribution of returns.
d. Time-variation in volatility that is not persistent.
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Investments
Authors: Zvi Bodie
12th Edition
1260819426, 9781260819427
