Homogeneity Hypothesis for Tail Index of Return Rate Distributions

• Autorzy: Edyta Tomasik
• Języki publikacji: EN

Abstrakty

EN

The aim of this study is verification hypothesis that it is possible to estimate common value of index α for shares fixed quoted on the Warsaw Stock Exchange. This question is essential, for if is possible to find common value of tail index, then it may be possible to apply Markowitz portfolio analysis using α-stable distribution [12]. (fragment of text)

Słowa kluczowe

EN

Econometrics; Statistical analysis; Rate of return

PL

Ekonometria; Analiza statystyczna; Stopa zwrotu

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007
• Strony: 147--154

Twórcy

autor

Edyta Tomasik

• Akademia Ekonomiczna w Poznaniu

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