Quants

narender.finwealth
Posts: 4
Joined: Tue Jul 21, 2015 6:06 am

Quants

Postby narender.finwealth » Thu Aug 13, 2015 8:12 am

Q) You want to estimate correlation between stocks in Frankfurt and Tokyo. You have prices of selected securities. How will time discrepancy bias the computed volatilities for individual stocks and correlation between these two markets?
A) Increased Volatility with correlation unchanged
B) Lower volatility with lower correlation
C) Volatility unchanged with lower correlation
D) Volatility unchanged with correlation unchanged

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Re: Quants

Postby edupristine » Fri Aug 14, 2015 6:34 am

Can you tell the source of this question?

narender.finwealth
Posts: 4
Joined: Tue Jul 21, 2015 6:06 am

Re: Quants

Postby narender.finwealth » Fri Aug 21, 2015 8:19 am

Sir,
This is a question of Privious (2009) FRM Exam.

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Re: Quants

Postby edupristine » Sat Aug 22, 2015 11:50 am

Volatility remains unaffected by the non-coordination of prices but in the correlation coefficient, errors will be caused.


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