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

• Authors: Dominik Krężołek

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.

Keywords

PL

Analiza statystyczna; Ryzyko inwestycyjne; Szeregi czasowe; Zmienne losowe

EN

Investment risk; Random variable; Statistical analysis; Time-series

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 192
• Pages: 59-82

Contributors

author

Dominik Krężołek

References

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Identifiers

ISSN

2083-8611