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

Internet

https://www.journals.vu.lt/LMR/article/view/18115

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