exogenous innovations is subject to stochastic regime shifts. We first show that, up to a second-order approximation using … then demonstrate how to derive the exact model likelihood for the second-order approximation of the solution when there are …

first order approximations. However, the first order approximation is only a crude way to understand tail behavior of … expectation (CTE) under the condition of second order regular variation (2RV). First, the closed-form second order approximation … approximation is affected by only the regular variation index −α of marginal survivor functions, while the second order …