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Extreme Events – Specimen Questions and Answers – Chapter 3: Fat Tails – In Joint (i.e. Multivariate) Return Series

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You have the following (percentage) return information on three different indices, A, B and C as follows (indices A and B are as per A.2). Index C has not been around as long as Index A and B.

 

Period

A (%)

B (%)

C (%)

1

-25.1

5.0

N/A

2

0.1

-16.0

N/A

3

24.2

-11.8

N/A

4

7.9

-3.0

N/A

5

-1.4

-9.3

N/A

6

0.5

-0.1

N/A

7

-0.6

-7.7

N/A

8

1.0

2.8

3.1

9

7.3

13.1

4.6

10

-12.0

1.5

-7.5

11

0.7

-10.5

-10.5

12

0.8

11.7

3.9

13

-3.8

17.9

5.2

14

2.8

9.7

0.1

15

-4.3

8.3

3.5

16

-1.2

-6.3

-2.9

17

-7.0

-7.8

-10.8

18

6.5

-2.3

2.5

19

3.6

5.4

6.3

20

1.8

2.8

2.4

 

Questions:

 

-          Question A.3.1

-          Question A.3.2

 


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