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A risk manager at a major global bank is performing a time series analysis of equity returns. To ensure the time series is classified as covariance stationary, one of the criteria that must be met is?
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 autocovariance of a covariance stationary time series depends only on the lag, h, between observations, not on time.
D
When the autocovariance function is asymmetric with respect to lag, h, forward looking stationarity can be achieved.
