Empirical study of relation measures of stable distributed stock returns
Articles
Igoris Belovas
Institute of Mathematics and Informatics
Audrius Kabašinskas
Kaunas University of Technology
Leonidas Sakalauskas
Institute of Mathematics and Informatics
Published 2008-12-21
https://doi.org/10.15388/LMR.2008.18115
PDF

Keywords

relation measures
codifference
covariation
power correlation
mixed-stable model
stable law

How to Cite

Belovas, I. , Kabašinskas, A. and Sakalauskas, L. (2008) “Empirical study of relation measures of stable distributed stock returns”, Lietuvos matematikos rinkinys, 48(proc. LMS), pp. 306–313. doi:10.15388/LMR.2008.18115.

Abstract

Relationships between financial instruments are very important in practical portfolio management. Under the assumption of stability, when the second moment does not exist, traditional relationship measures cannot be applied. In this paper we introduce new general correlation measures. Results of the empirical analysis of the selected equities from Baltic States market are given as an example.

PDF

Downloads

Download data is not yet available.

Most read articles by the same author(s)

1 2 > >>