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Unformatted text preview: pattern of variance ratios tell you about the risk of investing in the S&P 500 index over different horizons? d) If stock returns are accurately described by an AR(1) model of the form , Which value of rho is consistent with a three month variance ratio=1.14? 3. Answer whether the statement below is: True/False/Uncertain. In addition, comment/explain in one or two sentences. Be clear and precise. a. The credit spread is measured as the difference between the yield on ten‐year Treasury Bonds and the yield on one‐year Treasury Bills....
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This note was uploaded on 02/08/2014 for the course COMM 374 taught by Professor Lazrak during the Spring '08 term at The University of British Columbia.
- Spring '08