Title:

Przykład zastosowania funkcji powiązań Farliego-Gumbela-Morgensterna w analizie zależności między wybranymi akcjami notowanymi na GPW w Warszawie

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

The Example of Using Farlie-Gumbel-Morgenstern Copula Function in Dependence Analysis Among Chosen Stocks From WSE

Creator:

Papla, Daniel

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2008; Nr 7, s. 478-484

Abstrakt:

The main goal of this paper is the analysis of dependence among stocks from the Polish stock market. The main hypothesis was formulated in the way: the dependence among stocks on the Polish stock market is not only two-dimensional, i.e. there is dependence between two stocks, but it is also three-dimensional, i.e. there is dependence between three stocks. This three-dimensional dependence one can analyze using multidimensional (in this case three-dimensional) copula functions, which are presented in the first part of this paper. If this hypothesis is positively verified, the dependence among stocks on the Polish stock market is more complicated than the classical capital market models imply. The second part of the paper presents Farlie-Gumbel-Morgenstern (FGM) function used to verify this hypothesis. The analysis consists of two stages. The estimation of the coefficients of two-dimensional FGM function for pairs of stocks was the first stage and the estimation of coefficients of three-dimensional FGM function for threes of stocks was the second stage. The comparison of results of those estimations was a basis for the verification of research hypothesis presented in the last part of the paper.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2008

Resource Type:

artykuł

Language:

pol

Relation:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2008; Nr 7 (1207) ; Taksonomia 15 ; Klasyfikacja i analiza danych - teoria i zastosowania

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Coverage:

Dofinansowano z programu "Społeczna odpowiedzialność nauki" Ministra Edukacji i Nauki (SONB/SP/546390/2022). Tytuł projektu: Upowszechnienie zawartości czasopisma Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu