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