(a) Let Yt be the simple returns on Asset A and Y4 follows a stationary AR(1) model Y = 0.5 + 0.3Y+-1 + et = t where et ~ i.i.d. (0,4). Derive, step-by-step, the variance of Yt. [5 marks] (b) Let Xt be the simple returns on Asset B and Xt follows a stationary AR(1) model a Xt = 0.3Xt-1 + et = where et vi.i.d. (0,9). Derive, step-by-step, the variance of Xt. [5 marks] (a) Let Yt be the simple returns on Asset A and Y4 follows a stationary AR(1) model Y = 0.5 + 0.3Y+-1 + et = t where et ~ i.i.d. (0,4). Derive, step-by-step, the variance of Yt. [5 marks] (b) Let Xt be the simple returns on Asset B and Xt follows a stationary AR(1) model a Xt = 0.3Xt-1 + et = where et vi.i.d. (0,9). Derive, step-by-step, the variance of Xt. [5 marks]