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Weak Stationarity and Autocovariance Functions. Consider the following model on a return series rt=t+at+ 0.25at-1, where at Mid N(0,02), t = 1, ... ,T. (a)
Weak Stationarity and Autocovariance Functions. Consider the following model on a return series rt=t+at+ 0.25at-1, where at Mid N(0,02), t = 1, ... ,T. (a) What are the mean function and autocovariance function for this return series? Is this return series {rt} weakly stationary? Justify your answer. (b) Consider first differences of the return series above, that is, consider wt = Vrt=rt -rt-1. What are the mean function and autocovariance function for this time series? Is this time series {wt} weakly stationary? Justify your answer. Weak Stationarity and Autocovariance Functions. Consider the following model on a return series rt=t+at+ 0.25at-1, where at Mid N(0,02), t = 1, ... ,T. (a) What are the mean function and autocovariance function for this return series? Is this return series {rt} weakly stationary? Justify your answer. (b) Consider first differences of the return series above, that is, consider wt = Vrt=rt -rt-1. What are the mean function and autocovariance function for this time series? Is this time series {wt} weakly stationary? Justify your
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