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2009 | 25 | nr 65 Zastosowanie metod ilościowych | 162-176
Tytuł artykułu

Statystyki pozycyjne - szacowanie rozkładu maksymalnych strat na przykładzie Warszawskiej Giełdy Papierów Wartościowych

Autorzy
Warianty tytułu
Order Statistics - Estimation of the Distribution of the Maximal Losses on an Empirical Example the Warsaw Stock Exchange
Języki publikacji
PL
Abstrakty
W artykule opisano historię teorii wartości ekstremalnych wraz z jej matematycznymi podstawami i praktycznymi zastosowaniami. Zaprezentowano również wyniki empirycznego badania możliwości wykorzystania teorii do modelowania poziomu maksymalnych strat na warszawskiej Giełdzie Papierów Wartościowych na podstawie danych czterech najważniejszych indeksów GPW. (abstrakt oryginalny)
EN
The article reviews the history of the Extreme Values Theory (EVT) with its mathematical background and empirical applications. There are also presented the results of an empirical study of the possibility of modeling the maximal stock market loss on the Warsaw Stock Exchange based on the data of its four most important indices. (original abstract)
Twórcy
autor
  • Uniwersytet Ekonomiczny we Wrocławiu
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000165220250
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