standard-regression

  1. David Harper CFA FRM

    P2.T5.22.12. Correlation Properties

    Learning objectives: Describe how equity correlations and correlation volatilities behave throughout various economic states. Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation. Identify the best-fit distribution for equity, bond, and...
    • David Harper CFA FRM
    • Thread
    • autocorrelation bond-correlations correlation-properties correlation-volatilities default-correlation equity-correlation mean-reversion-rate standard-regression
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    • Forum: FRM® Practice Questions
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