one-factor-model

  1. Nicole Seaman

    P1.T2.21.4. Non-normal distributions and rank correlations

    Learning objectives: Explain how the Jarque-Bera test is used to determine whether returns are normally distributed. Describe the power law and its use for non-normal distributions. Define correlation and covariance and differentiate between correlation and dependence. Describe properties of...
    • Nicole Seaman
    • Thread
    • correlation covariance dependence jarque-bera-test non-normal-distributions normal-distribution one-factor-model power-law
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P1.T2.706. Bivariate normal distribution (Hull)

    Learning objectives: Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe the procedure of generating samples from a bivariate normal distribution. Describe properties of correlations between normally distributed variables when using...
    • Nicole Seaman
    • Thread
    • bivariate-normal-distribution consistency-condition correlations covariance ewma garch hull one-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
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