这个作业是完成金融相关的习题
FINA304 – Assignment 1
问题1（10分）。 回答以下问题，并简要说明您的理由：
a）变量的偏度和峰度暗示其分布是什么？ [5分]
b）自相关和部分自相关函数有什么区别？
我们如何使用这两个统计量来确定自回归和移动平均
时间序列的组成部分？ [5分]
Problem 2 (20 marks). Determine which of the following processes are stationary and
invertible. In the following we always assume that ut
is white noise with mean zero and
variance σ
2
, i.e. ut ∼ WN(0, σ2
).
a) yt = −0.2yt−1 + 0.48yt−2 + ut
; [5 marks]
b) yt = −1.9yt−1 − 0.88yt−2 + ut + 1.8ut−1 + 0.81ut−2; [5 marks]
c) yt + 1.6yt−1 = ut − 0.4ut−1 + 0.04ut−2; [5 marks]
d) yt = ut −
10
3
ut−2. [5 marks]
Problem 3 (10 marks). Consider the following ARMA(2,4) process, with α, β as real parameters, i.e. α, β ∈ R,
yt = αyt−2 + ut +
1
β
ut−4, ut ∼ WN(0, 1)
State the range of values for α and β for which yt
is stationary and invertible? Assume that
all roots are real number.