Статистический анализ логарифмических доходностей акций
| Parent link: | Перспективы развития фундаментальных наук=Prospects of Fundamental Sciences Development: сборник научных трудов XIV Международной конференции студентов, аспирантов и молодых ученых, г. Томск, 25-28 апреля 2017 г./ Национальный исследовательский Томский политехнический университет (ТПУ) ; под ред. И. А. Курзиной, Г. А. Вороновой.— , 2017 Т. 3 : Математика.— 2017.— [С. 32-34] |
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| Summary: | Заглавие с экрана In the study, we conducted a statistical analysis of asset returns of 16 companies during the period from 2000 to 2015. We used the Shapiro-Wilk test and determined that time series are not from a normal distribution. We detect structural breaks in time series with the Chow test, and then the correlation coefficients between asset returns were calculated. We found the first four moments of correlation coefficients. Data collection and statistical computing have been done in the programming language R. |
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2017
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| Online Access: | http://earchive.tpu.ru/handle/11683/41382 |
| Format: | Electronic Book Chapter |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=622770 |