Financial Risk Manager Part 1
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A risk analyst is evaluating a dataset of weekly returns for a commodity index. The analyst decides to use the Jarque-Bera test to determine if the returns of the commodity index are normally distributed. Which of the following statements will the analyst find to be correct regarding the Jarque-Bera test?
A
The Jarque-Bera test statistic follows a binomial distribution.
B
The Jarque-Bera test only examines the skewness and kurtosis of a distribution.
C
The Jarque-Bera test requires that a Gaussian copula be applied to the return data before conducting the test.
D
The Jarque-Bera test statistic does not depend on the sample size of the return dataset.