tute-week03

# tute-week03 - 6) Compute the Range, IQR, standard deviation...

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Week03 Tutorial Questions Question 1: This is part of Question 2 in last week’s tutorial. Please attempt to this question if you have not finished it. Go to http://www.rba.gov.au/Statistics/exchange_rates.html and download the daily exchange rate of the Australian dollar (in US\$) from 01/01/2001 to 20/07/2007. 1) Delete non-trading-day observations; 2) Compute simple daily returns of the Australian dollar exchange rate; 3) Examine whether the “rules of thumb” applies to the daily return series; 4) Use pivot table to compute each weekday’s average return. Question 2: This question is based on Asia2000_2005_return.xls. 1) Compute mean and median for each return series; 2) Obtain a histogram for each return series using the same set of bins; 3) Decide modal class for each return series based on the histograms; 4) Compute the first and the third quartiles for each return series; 5) Compute the 5 th and the 95 th percentiles for each return series;
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Unformatted text preview: 6) Compute the Range, IQR, standard deviation and coefficient of variation for each return series; 7) Which measures are suitable for comparing the variation of return series across different markets? Which market has the largest degree of variation? 8) Compute the correlation coefficient and the rank correlation coefficient between the daily return of Thailand index and the return of any other indices. 9) Compute the skewness and kurtosis for each of the return series. Note: To compute the rank correlation coefficient between two series, you need to obtain the ranks of all observations in one series, as well as the ranks of all observations in the other. The rank correlation coefficient between the two series is actually the Pearson correlation coefficient between the two rank series. Note: If you cannot finish the questions in the tutorial, it is very important that you finish them by yourselves....
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## This note was uploaded on 04/30/2010 for the course EEF 9300 taught by Professor Tan during the Three '10 term at Monash.

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