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5. Consider the following returns: Period 1 23456 United States 10% 15% -5% 12% 6% United Kingdom 5% -5% 15% 8% 10% Exchange Rate $3
5. Consider the following returns: Period 1 23456 United States 10% 15% -5% 12% 6% United Kingdom 5% -5% 15% 8% 10% Exchange Rate $3 2.5 2.5 2 1.5 2.5 Note that the exchange rate is stated as beginning of period dollars for pounds. What is the average return in each market from the point of view of a US investor and of a UK investor? 6. Given the data in problem 1, what is the standard deviation of return from the point of view of a US investor and of a UK investor? St
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High Frequency Financial Econometrics
Authors: Yacine Aït Sahalia, Jean Jacod
1st Edition
0691161437, 978-0691161433
