Table 1: Basic properties of the distribution of returns series. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||

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Notes: denotes the sample mean, is standard deviation, is the Kurtosis (exc), size is the skewness coefficient, is the Jarque-Bera normality test, and are, respectively, the 12th order Ljung-Box tests for serial correlation in the residuals and squared residuals. and are multivariate Ljung-Box version. The number in parenthese is the P-values. |