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Business, 16.10.2019 22:00 baue4431

Compute the log returns for nikkei and find the statistics below.

a) find the mean annualized return.
b) find the annualized volatility (standard deviation for the whole sample).
c) find the skewness and kurtosis and explain if there is any asymmetry and fat tails?
d) formulate and test the efficient market hypothesis (emh) using the q test for returns for k=15 autocorrelations.
e) formulate and test the null hypothesis of no volatility clustering using the q test for squared returns for k=15 autocorrelations.

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Compute the log returns for nikkei and find the statistics below.

a) find the mean annu...
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