Consider the daily log returns of American Express stock from January 1994 to December 2003 as in
Question:
Consider the daily log returns of American Express stock from January 1994 to December 2003 as in Exercise 1.1.
Use the 5%
significance level to perform the following tests.
(a) Test the null hypothesis that the skewness measure of the returns is zero.
(b) Test the null hypothesis that the excess kurtosis of the returns is zero.
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