5 Questions
Which type of time series model attempts to model and predict financial variables using only information contained in their own past values and possibly current and past values of an error term?
Univariate time series models
What is the defining characteristic of a weakly stationary process?
All variances are the same and all covariances depend on the difference between $t_1$ and $t_2$
Which class of time series models is usually associated with Box and Jenkins (1970)?
AutoRegressive Moving Average (ARMA) models
What is the defining characteristic of a strictly stationary process?
The probability measure for the sequence ${y_t}$ is the same as that for ${y_{t+m}}$ for all $m$
When might time series models be useful?
When a structural model is inappropriate
Test your knowledge of univariate time series modeling and forecasting with this quiz. Explore the fundamentals of modeling financial variables using only past values and error terms.
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