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Figure 1: Regime specific parameter functions A1 and A2 of the two different scenarios.
Table 1: The quantities q0.25, q0.5, q0.75, “avg.”, and “sd.” denote the 25% 50% and 75%quantiles, the arithmetic mean, and the standard deviation of the empirical distributionover Monte Carlo samples.
Table 2: Quantiles, means, and standard deviations of the considered variables.
Figure 3: Estimated regime specific slope functions A˜1 and A˜2 (left panel) and marginaleffect of idiosyncratic volatility (right panel).
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