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Quantitative Finance 203 - Speech or Presentation Example

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Create a histogram for each of the returns series and report their descriptive statistics including mean, median, mode, variance, standard deviation, skewness and kurtosis. What conclusion can you draw by examining the kurtosis in each case?
In the case of Return on AUD per…
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Quantitative Finance 203
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urtosis is given as 4.496>3, this implies that we have a Leptokurtic distribution, sharper than a normal distribution, with values concentrated around the mean and thicker tails. This means high probability for extreme values. In the case of Return on AUD per USD, the kurtosis is given as 8.277>3, this implies that we have a Leptokurtic distribution, sharper than a normal distribution, with values concentrated around the mean and thicker tails. This means high probability for extreme values. In the case of Rateturn onTB Rate, the kurtosis is given as 156.

85>3, this implies that we have a Leptokurtic distribution, sharper than a normal distribution, with values concentrated around the mean and thicker tails. This means high probability for extreme values. 5. Under the assumption that the returns of each asset are drawn from an independently and identically distributed normal distribution, are the expected returns statistically different from zero for each asset? State clearly the null and alternative hypothesis in each case. Based on the correlation matrix table given in question 6 above, we can conclude that the assumption of independence is not realistic.

There is a positive relationship between Return on AUD per Yen and Return on AUD per UKP; Return on AUD per Yen and Return on AUD per USD and Return on AUD per UKP and Return on AUD per

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