Financial Risk Manager Part 1
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A risk manager at a leading global bank is conducting a time series analysis on equity returns. The objective is to ascertain whether the time series data exhibits covariance stationarity, a crucial property for reliable statistical inference and modeling. Covariance stationarity implies that the statistical properties of the time series do not change over time. Which of the following statements outlines one of the criteria that must be met for a time series to achieve covariance stationarity?
A
The distribution of a time series should have a kurtosis value near 3.0, ensuring no fat tails will distort stationarity.
B
The distribution of a time series should have a skewness value near O, so that its mean will fall in the center of the distribution.
C
The autocovariances of a covariance stationary time series depend only on the lag. h,between observations,noton time.
D
When the autocovariance function is asymmetric with respect to lag, h, forward looking stationarity can be achieved