The skew of a random variable X is defined as Given data x 1 , x 2

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The skew of a random variable X is defined as 

skew = E((Xux))/std. (6.40)

Given data x1, x2,...,xn an estimator for skew is

skew = (x - 7)

where x̄ and s̅ are empirical mean and standard deviation. Being a symmetric distribution the normal has 0 skew. Calculate the empirical skew of the log returns (log Si+1/Si), for 3 stock equities of your choice using daily prices over the last 2 years.

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Related Book For  book-img-for-question

Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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