Empirical study of relation measures of stable distributed stock returns | Zendy

Igoris Belovas | Zendy; Audrius Kabašinskas | Zendy; Leonidas Sakalauskas | Zendy

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Empirical study of relation measures of stable distributed stock returns

Author(s) -

Igoris Belovas,

Audrius Kabašinskas,

Leonidas Sakalauskas

Publication year - 2008

Publication title -

lietuvos matematikos rinkinys

Language(s) - English

Resource type - Journals

eISSN - 2335-898X

pISSN - 0132-2818

DOI - 10.15388/lmr.2008.18115

Subject(s) - econometrics , portfolio , relation (database) , stock market , stock (firearms) , financial economics , empirical research , economics , stability (learning theory) , project portfolio management , mathematics , computer science , statistics , engineering , geography , data mining , context (archaeology) , management , archaeology , machine learning , project management , mechanical engineering

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.

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