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.

Exercise 1.1:

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).

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ACF 0.0 0.4 0.8 ACF 0.0 0.4 0.8 0 5 10 Series: gm Lag (a) Series: gm 1 15 20 20 0.0 0.5 1.0 1.5 2.0 Lag (b) Figure 1.8 Sample ACFS of the monthly simple returns to General Motors stock from January 1975 to December 2008: (a) and (b) are without and with time series object, respectively.