- Tytuł:
- Skewness in return rate distribution modelling
- Autorzy:
- Czyżycki, Rafał
- Wydawca:
- University of Maribor,Faculty ofLogistics, Celje, Slovenia
- Cytata wydawnicza:
- Czyżycki, R., (2016), Skewness in return rate distribution modelling, [in:] MODERN CONDITIONS OF DEVELOPMENT-Economics and Management, Celje, pp. 55-69
- Opis:
- The main objective of the study is to assess the extent to which inclusion of the possibility of skewness in the density functionaffects thequality ofreturn rate distribution modelling. Three basie distribution types shallbe used to this end,i.e.normal distribution, Student's t-distribution and GED distribution. Additionally, the significance of skewness for modelling normal and logarithmic return rate shall be determined, as well as differences inreturn rate distribution skewness on both maturę and developing capital markets.For this purpose,return rates onthe S&P500 and WIGindices shall be subjectedto modelling.
- Dostawca treści:
- Repozytorium Centrum Otwartej Nauki
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