【FRM每日一题】二级：信用&市场强化（4）
备考FRM二级 | 2015-09-25
Which of the following statements regarding correlation dependence is false? A.Correlation is a good measure of dependence for random variables that are normally distributed.
B.Correlation is not an adequate measure of dependence for all elliptical distributions.
C.If return distribution are non-elliptical, then a zero correlation implies returns are independent.
D.A drawback of using correlation to measure dependence is that correlation is not invariant to transformations.
Answer: C
If returns have a multivariate normal distribution, then a zero correlation implies that risks are independent. Conversely, if returns are not normally distributed, then a zero correlation does not imply returns are independent.
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