Question: Consider the data set mdec5FF6117. txt used in question 3 of the exercise in Chapter 6. Fit a two-state HMM FamaFrench multi-factor model to the

Consider the data set mdec5FF6117.

txt used in question 3 of the exercise in Chapter 6. Fit a two-state HMM Fama–French multi-factor model to the excess returns of Decile 5 portfolio. Perform similar analysis to that in Example 7.3.

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