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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Accounting Information For Business Decisions
Authors: Billie Cunningham, Loren A. Nikolai, John Bazley, Marie Kavanagh, Geoff Slaughter, Sharelle Simmons
2nd Edition
0170253708, 978-0170253703
