PL EN


2014 | 192 | 59-82
Article title

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

Content
Title variants
EN
Dependency Measures - Statistical Analysis Using Selected Assets from Non-ferrous Metals Market
Languages of publication
PL
Abstracts
EN
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.
Year
Volume
192
Pages
59-82
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-6edc1012-a7f9-44d8-a6bf-6470fa0da2dc
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