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**Edition :**3rd Edition-
**Author :**Tsay, Ruey S.; Tsay, Ruey S. -
**ISBN13 :**9780470414354 -
**ISBN10 :**470414359

- Question : 1E - Consider the daily stock returns of American Express (AXP), Caterpillar (CAT), and Starbucks (SBUX) from January 1999 to December 2008. The data are simple returns given in the file d-3stocks9908.txt (date, axp, cat, sbux). (a) Express the simple returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage simple returns. (b) Transform the simple returns to log returns. (c) Express the log returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage log returns. (d) Test the null hypothesis that the mean of the log returns of each stock is zero. That is, perform three separate tests. Use 5% significance level to draw your conclusion.
- Question : 2E - Answer the same questions as in Exercise 1.1 but using monthly stock returns for General Motors (GM), CRSP value-weighted index (VW), CRSP equalweighted index (EW), and S&P composite index from January 1975 to December 2008. The returns of the indexes include dividend distributions. Data file is m-gm3dx7508.txt (date, gm, vw, ew, sp).
- Question : 3E - Consider the monthly stock returns of S&P composite index from January 1975 to December 2008 in Exercise 1.2. Answer the following questions: (a) What is the average annual log return over the data span?references 27 (b) Assume that there were no transaction costs. If one invested $1.00 on the S&P composite index at the beginning of 1975, what was the value of the investment at the end of 2008?
- Question : 4E - Consider the daily log returns of American Express stock from January 1999 to December 2008 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.
- Question : 5E - Daily foreign exchange rates (spot rates) can be obtained from the Federal Reserve Bank in Chicago. The data are the noon buying rates in New York City certified by the Federal Reserve Bank of New York. Consider the exchange rates between the U.S. dollar and the Canadian dollar, euro, U.K. pound, and the Japanese yen from January 4, 2000, to March 27, 2009. The data are also on the Web. (a) Compute the daily log return of each exchange rate. (b) Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the log returns of each exchange rate. (c) Discuss the empirical characteristics of the log returns of exchange rates. (d) Obtain a density plot of the daily long returns of dollar

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