Longer holding period using the square root of time

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Reference no: EM132020675

Which of the following statements are correct with regards to scaling up a VAR estimate from a shorter holding period to a longer holding period using the square root of time? Explain your answer.

a. It is never appropriate.

b. It is always appropriate.

c. When either mean reversion or trend are present in the historical data series.

d. When neither mean reversion nor trend are present in the historical data series.

Reference no: EM132020675

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