Ch 5 - Empirical features of financial asset returns

Question 1

Strictly, only the ____ is a moment, The sample moments are ______

Answer 1

Mean, transformations of moments

Question 2

Why do we annualize the mean and the standard deviation when the sampling frequency is less than annual?

Answer 2

So that returns computed over different frequencies can be more easily compared

Question 3

The most common way to annualize is to do so assuming _________

Answer 3

That the returns are serially uncorrelated

Question 4

What is sampling frequency?

Answer 4

How often price is observed

Question 5

The continually compounded return on an asset is sometimes called the _________ of the price series

Answer 5

Log difference

Question 6

What is the Jarque Bera test?

Answer 6

The JB test examines whether a given sample of data is normally distributed

Question 7

Normally distributed RVs, regardless of their mean and variance, have skewness equal to ____ and kurtosis __

Answer 7

0, 3