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Engineering, 28.01.2020 06:31 Axe15x

Consider the daily simple returns of american express (axp), crsp valueweighted index (vw), crsp equal-weighted index (ew), and the s& p composite index (sp) from september 01, 2001 to september 30, 2011. returns of indices include dividends. the data are in the file d-axp3dx-0111.txt (date, axp, vw, ew, sp). (a) compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of each simple return series. references 37 (b) transform the simple returns to log returns. compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of each log return series. (c) test the null hypothesis that the mean of the log returns of axp stock is zero. use 5% significance level to draw your conclusion

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Consider the daily simple returns of american express (axp), crsp valueweighted index (vw), crsp equ...

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