Stefanescu, Răzvan and Dumitriu, Ramona (2016): Statistica descriptivă a seriilor de timp financiare.
Preview |
PDF
MPRA_paper_72268.pdf Download (2MB) | Preview |
Abstract
Descriptive statistics facilitates the revealing of some important features of the financial variables evolutions. In this paper we present some indicators of the central tendency and the dispersion. We approach, also, the skewness and kurtosis of the financial variables.
Item Type: | MPRA Paper |
---|---|
Original Title: | Statistica descriptivă a seriilor de timp financiare |
English Title: | Descriptive statistics of the financial time series |
Language: | Romanian |
Keywords: | Financial Variables, Central Tendency, Dispersion, Skewness, Kurtosis |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G19 - Other |
Item ID: | 72268 |
Depositing User: | Razvan Stefanescu |
Date Deposited: | 01 Jul 2016 15:08 |
Last Modified: | 29 Sep 2019 06:00 |
References: | Aadland, D. (2002). Detrending time-aggregated data. Economics Research Institute Study Paper, 5, 1. ftp://129.123.19.10/RePEc/usu/pdf/ERI2002-05.pdf Agrrawal, P., Borgman, R., Clark, J. M., & Strong, R. (2010). Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates. Journal of Financial Education, 98-110. Baillie, R. T., & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of Financial and Quantitative Analysis, 25(02), 203-214. https://msu.edu/user/baillie/JFQA.1990.pdf Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, 1, 223-236. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.480.6085&rep=rep1&type=pdf Croitoru, L. (2012). Politica Monetară: Ipostaze Neconvenţionale, Editura Curtea Veche, Bucuresti. DeCarlo, L. T. (1997). On the meaning and use of kurtosis. Psychological Methods, 2(3), 292. http://www.columbia.edu/~ld208/psymeth97.pdf Doane, D. P., & Seward, L. E. (2011). Measuring skewness: a forgotten statistic. Journal of Statistics Education, 19(2), 1-18. http://www.amstat.org/publications/jse/v19n2/doane.pdf Doane, D. P., & Seward, L. E. (2013). Applied statistics in business and economics. Fourth Edition, McGraw-Hill/Irwin, New York. French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3-29. http://schwert.ssb.rochester.edu/fss.pdf Groeneveld, R.A. & Meeden, G. (1984). Measuring skewness and kurtosis. The Statistician, 33, 391-399. Kaeppel, J. (2009). Seasonal stock market trends. John Wiley & Sons, Inc., Hoboken, New Jersey. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. http://www.ccee.edu.uy/ensenian/catmetec/material/Plosser.PDF Poon, S. H., & Granger, C. W. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.334.6366&rep=rep1&type=pdf Schwert, G. W. (1989). Why does stock market volatility change over time?. The Journal of Finance, 44(5), 1115-1153. http://schwert.ssb.rochester.edu/jfin89.pdf Sewell, M. (2011). Characterization of financial time series. UCL Department of Computer Science, Research Note RN/11/1. http://www.cs.ucl.ac.uk/fileadmin/UCL-CS/images/Research_Student_Information/RN_11_01.pdf Shiller, R. J. (1988). Causes of changing financial market volatility. Proceedings – Economic Policy Symposium, Federal Reserve Bank of Kansas City, 1-32. https://www.kansascityfed.org/publicat/sympos/1988/s88shill.pdf Ştefănescu, R., & Dumitriu, R. (2010). Bazele Statisticii. Editura Europlus, Galaţi. Stefanescu, R., & Dumitriu, R. (2015). Conţinutul analizei seriilor de timp financiare. Available at SSRN: http://ssrn.com/abstract=2672628 Tsay, R. S. (2005). Analysis of financial time series. Second Edition. John Wiley & Sons. Watson, M. W. (1986). Univariate detrending methods with stochastic trends. Journal of monetary economics, 18(1), 49-75. https://www.princeton.edu/~mwatson/papers/Watson_JME_1986.pdf Wegner, T. (2007). Applied Business Statistics: Methods and Excel-based applications. Second Edition. Juta & Co. Ltd., Cape Town. Weiers, R. (2011). Introduction to Business Statistics. Seventh Edition. Cengage Learning. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/72268 |