2014 | 192 | 59-82
Article title

Miary zależności - analiza statystyczna na przykładzie wybranych walorów rynku metali nieżelaznych

Title variants
Dependency Measures - Statistical Analysis Using Selected Assets from Non-ferrous Metals Market
Languages of publication
The analysis of investment risk is strongly associated with the knowledge of dependency structure between assets. The aim of this paper is to present some dependency and concordance measures between random variables. Such measures as Pearson coefficient of correlation, Kendall's tau and Spearman's rho has been discussed. Moreover, the measures of tail dependencies has been presented. An empirical analysis has been carried out using selected assets from non-ferrous metals market.
Physical description
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Document Type
Publication order reference
YADDA identifier
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