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Extreme Events – Specimen Questions and Answers – Chapter 2: Fat Tails – In Single (i.e. Univariate) Return Series

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The exercises in this Section relate to the following hypothetical (percentage) returns on two indices, A and B, over 20 periods:

 

Period

A (%)

B (%)

1

-25.1

5.0

2

0.1

-16.0

3

24.2

-11.8

4

7.9

-3.0

5

-1.4

-9.3

6

0.5

-0.1

7

-0.6

-7.7

8

1.0

2.8

9

7.3

13.1

10

-12.0

1.5

11

0.7

-10.5

12

0.8

11.7

13

-3.8

17.9

14

2.8

9.7

15

-4.3

8.3

16

-1.2

-6.3

17

-7.0

-7.8

18

6.5

-2.3

19

3.6

5.4

20

1.8

2.8

 

Questions:

 

-          Question A.2.1

-          Question A.2.2

-          Question A.2.3

 


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