Empirical study of relation measures of stable distributed stock returns
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...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2008-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/18115 |
| _version_ | 1818349450849943552 |
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| author | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas |
| author_facet | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas |
| author_sort | Igoris Belovas |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-13T18:06:09Z |
| format | Article |
| id | doaj.art-3a8fb9b588b848ceaf8c03c6b760e7a2 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-12-13T18:06:09Z |
| publishDate | 2008-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-3a8fb9b588b848ceaf8c03c6b760e7a22022-12-21T23:36:04ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2008-12-0148proc. LMS10.15388/LMR.2008.18115Empirical study of relation measures of stable distributed stock returnsIgoris Belovas0Audrius Kabašinskas1Leonidas Sakalauskas2Institute of Mathematics and InformaticsKaunas University of TechnologyInstitute of Mathematics and InformaticsRelationships 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.https://www.journals.vu.lt/LMR/article/view/18115relation measurescodifferencecovariationpower correlationmixed-stable modelstable law |
| spellingShingle | Igoris Belovas Audrius Kabašinskas Leonidas Sakalauskas Empirical study of relation measures of stable distributed stock returns Lietuvos Matematikos Rinkinys relation measures codifference covariation power correlation mixed-stable model stable law |
| title | Empirical study of relation measures of stable distributed stock returns |
| title_full | Empirical study of relation measures of stable distributed stock returns |
| title_fullStr | Empirical study of relation measures of stable distributed stock returns |
| title_full_unstemmed | Empirical study of relation measures of stable distributed stock returns |
| title_short | Empirical study of relation measures of stable distributed stock returns |
| title_sort | empirical study of relation measures of stable distributed stock returns |
| topic | relation measures codifference covariation power correlation mixed-stable model stable law |
| url | https://www.journals.vu.lt/LMR/article/view/18115 |
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