Open AccessEmpirical 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.