Sensitivity Analysis of Some Robust Estimators of Volatility

• Autorzy: Grażyna Trzpiot , Justyna Majewska
• 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)

Słowa kluczowe

PL

Statystyka; Metody estymacji; Estymatory

EN

Statistics; Estimation methods; Estimators

• Czasopismo: Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Numer: nr 53 Metody wnioskowania statystycznego w badaniach ekonomicznych
• Strony: 91-108

Twórcy

autor

Grażyna Trzpiot

• The Karol Adamiecki University of Economics in Katowice, Poland

autor

Justyna Majewska

• The Karol Adamiecki University of Economics in Katowice, Poland

Bibliografia

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