AppliedMultiple choice
What is the leverage effect in equity returns?
- ANegative returns raise subsequent volatility more than positive returns of the same size
- BLeveraged funds amplify index moves mechanically
- CVolatility rises with the level of the index
- DReturns are positively autocorrelated after large moves
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Reported in interviews at
More time series questions
- Returns are modelled with a Student-t distribution with 5 degrees of freedom.Applied
- Daily returns have volatility 1% and first-order autocorrelation −0.1.Applied
- The autocorrelation of absolute daily returns stays positive and decays only…Applied
- Under a normal distribution, roughly how many trading days pass between moves…Advanced
- Which of these is closest to being a stationary series?Foundation
- For white noise, sample autocorrelations have standard error about 1/√T.Foundation