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CFA Level II Vignettes Quantitative Finance Time Series MCQs Test 1
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CFA Level II Vignettes Quantitative Finance Time Series MCQs Test 1

Practice CFA 2026 Level II Vignettes Quantitative Finance MCQs from Time Series. Get instant results with Explanation.
Practice Quiz 1 for "Time Series" (Quantitative Finance). Total 30 MCQs available, split into 3 quizzes. Start with the fundamentals and build a strong base. Mastering these concepts is essential for securing a high percentile in CFA.
General10 MCQs
1. Vignette 1: AR Models - A time series is modeled as x_t = 0.2 + 0.7 x_{t-1} + ε_t. Is this series covariance stationary?
2. What is the long‑run mean (unconditional mean) of the AR(1) process x_t = 0.2 + 0.7 x_{t-1} + ε_t?
3. For an AR(1) process, what is the pattern of the autocorrelation and partial autocorrelation functions?
4. Consider an AR(2) model x_t = 0.1 + 0.5 x_{t-1} + 0.2 x_{t-2} + ε_t. Is this process stationary?
5. After estimating an AR model, which test is used to check if the residuals are white noise?
General10 MCQs
6. Vignette 2: Unit Roots & Cointegration - An analyst runs an ADF test on a time series and obtains a test statistic of -2.8. The 5% critical value is -3.5. What is the conclusion?
7. What does cointegration imply about two non‑stationary time series?
8. How can a non‑stationary time series with a unit root be transformed to achieve stationarity?
9. In an error correction model, what does a negative and significant coefficient on the error correction term indicate?
10. Which test is used to determine if two non‑stationary series are cointegrated?

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