Empirical study of relation measures of stable distributed stock returns

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 th...

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Bibliographic Details
Main Authors: Igoris Belovas, Audrius Kabašinskas, Leonidas Sakalauskas
Format: Article
Language:English
Published: Vilnius University Press 2008-12-01
Series:Lietuvos Matematikos Rinkinys
Subjects:
relation measures
codifference
covariation
power correlation
mixed-stable model
stable law
Online Access:https://www.journals.vu.lt/LMR/article/view/18115
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spelling doaj-3a8fb9b588b848ceaf8c03c6b760e7a22020-11-25T03:17:33ZengVilnius 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 Informatics 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. https://www.journals.vu.lt/LMR/article/view/18115relation measurescodifferencecovariationpower correlationmixed-stable modelstable law
collection DOAJ
language English
format Article
sources DOAJ
author Igoris Belovas
Audrius Kabašinskas
Leonidas Sakalauskas
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
author_facet Igoris Belovas
Audrius Kabašinskas
Leonidas Sakalauskas
author_sort Igoris Belovas
title Empirical study of relation measures of stable distributed stock returns
title_short 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_sort empirical study of relation measures of stable distributed stock returns
publisher Vilnius University Press
series Lietuvos Matematikos Rinkinys
issn 0132-2818
2335-898X
publishDate 2008-12-01
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.
topic relation measures
codifference
covariation
power correlation
mixed-stable model
stable law
url https://www.journals.vu.lt/LMR/article/view/18115
work_keys_str_mv AT igorisbelovas empiricalstudyofrelationmeasuresofstabledistributedstockreturns
AT audriuskabasinskas empiricalstudyofrelationmeasuresofstabledistributedstockreturns
AT leonidassakalauskas empiricalstudyofrelationmeasuresofstabledistributedstockreturns
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