- CFA Exams
- 2023 Level II
- Topic 1. Quantitative Methods
- Learning Module 5. Time-Series Analysis
- Subject 3. Random Walks and Unit Roots
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Subject 3. Random Walks and Unit Roots PDF Download
Please try the quiz to test your understanding of this subject.
Learning Outcome Statementsexplain the instability of coefficients of time-series models;
describe characteristics of random walk processes and contrast them to covariance stationary processes;
describe implications of unit roots for time-series analysis, explain when unit roots are likely to occur and how to test for them, and demonstrate how a time series with a unit root can be transformed so it can be analyzed with an AR model;
CFA® 2023 Level II Curriculum, Volume 1, Module 5
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