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2009 | nr 53 Metody wnioskowania statystycznego w badaniach ekonomicznych | 91-108
Tytuł artykułu

Sensitivity Analysis of Some Robust Estimators of Volatility

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Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Leptokurtotic tails of data distributions and contamination of data with outliers in financial time series are the reasons for adapting robust methods to constructing effective investment portfolios. In this paper we present the sensitivity analysis of selected robust estimators of volatility and the classification of generated investment portfolios with respect to chosen robust estimators. (original abstract)
Twórcy
  • The Karol Adamiecki University of Economics in Katowice, Poland
  • The Karol Adamiecki University of Economics in Katowice, Poland
Bibliografia
  • Collins J.R (1999): Robust M-estimators of Scale: Minimax Bias Versus Maximai Variance. "Canadian Journal of Statistics", 27.
  • Hampel E.R. (1971): A General Qualitative Detinition of Robustness. "Annals of Mathematical Statistics", Vol. 42, No. 6.
  • Hampel E.R. (1974): The Influence Curve and Its Role in Robust Estimators. "JASA", 69.
  • Hampel E.R., Ronchetti E.M., Rousseeuw P.J., Stahel W.A. (1986): Robust Statistics: The Approach Based on Influence Function. Wiley & Sons Inc., New York.
  • He X., Simpson D.G. (1993): Lower Bounds for Contamination Bias: Globally Minimax Versus Locally Linear Estimation. "The Annals of Statistics", 21 (1).
  • Huber P. (1964): Robust Estimation of a Location Parameter. "Annals ot Mathematical Statistics", 53.
  • Rousseeuw P.J., Croux C. (1991): Alternatives to the Median Absolute Deviation, Technical Report. Department of Mathematics and Computer Science, Universitaire Instelling, Antwerpen.
  • Rousseeuw P.J., Croux C. (1992): Explicit Scale Estimators with High Breakdown Point L1 - Statistical Analysis and Related Methods. Y. Dodge (ed.). Amsterdam, North-Holland.
  • Shamos M.I. (1976): Geometry and Statistics: Problems at the Interface. In: New Directions and Recent Results in Algorithms and Complexity. J.E Traub (ed.). Academic Press, New York.
  • Simaan Y. (1997): Estimation Risk in Portfolio Selection: The Mean Variance Model and the Mean-Absolute Deviation Model. "Management Science", 43.
  • Tukey J.W. (1960): A Survey of Sampling from Contaminated Distributions. In: Contributions to Probability and Statistics. I. Olkin (ed.). Stanford University Press, Palo Alto, pp. 448-485.
Typ dokumentu
Bibliografia
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