Empirical study of relation measures of stable distributed stock returns

zbMATH Open1359.62440MaRDI QIDQ2811600FDOQ2811600

Authors: Igoris Belovas, Audrius Kabasinskas, Leonidas Sakalauskas 

Publication date: 10 June 2016

Published in: Lietuvos Matematikos Rinkinys. Lietuvos Matematiku Draugijos Darbai (Search for Journal in Brave)

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zbMATH Keywords

stable lawcovariationcodifferencemixed-stable modelpower correlationrelation measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (4)

• Relationships between returns in EU equity markets in 2005--2016: implications for portfolio risk diversification
• Correlation as probability: applications of Sheppard's formula to financial assets
• Stability Testing of Stock Returns Connections
• Title not available (Why is that?)

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