Extreme Events – Specimen Questions and Answers – Chapter 7: Regime Switching and Time-Varying Risk and Return Parameters

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In Section 7.2 we set out formulae for the means and covariance matrices for the conditional probability distributions involved in a RS model that involved just two multivariate normal regimes.




-          Question A.7.1

-          Question A.7.2

-          Question A.7.3


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