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Jim Johannsen has collected a large data set of daily market returns for three emerging markets. He is concerned about the non-normal skew in the data and is considering non-parametric estimation methods. Johannsen is not familiar with these techniques and he discusses the procedure with his colleague Lily Tong.

During the course of their discussion, Lily makes the following statements:

Age-weighted historical simulation reduces the impact of older observations only after surpassing a user-defined threshold.

Volatility-weighted historical simulation arguments historic returns with an additive volatility adjustment.

Filtered historical estimation combines sophisticated parametric and dynamic volatility estimation techniques.添加老師微信了解詳情

How many of Ms. Tong’s statements are correct?【資料下載】[融躍財(cái)經(jīng)]FRM一級ya題-pdf版

A) Zero.

B) One.

C) Two.

D) Three.

答案:A

解析:Statement I is incorrect because age-weighted historical simulation reduces the weighting of each successive observation by a constant decay factor. Statement II is incorrect as volatility-weighted historical simulation uses a multiplicative adjustment not additive. Statement III is incorrect because filtered historical simulation combines the historical simulation model with conditional volatility models.

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