Skewness in return rate distribution modelling

Czyżycki, Rafał

Skewness in return rate distribution modelling

dc.contributor.author	Czyżycki, Rafał
dc.contributor.organization	Wydział Zarządzania i Ekonomiki Usług, Uniwersytet Szczeciński	en
dc.date.accessioned	2018-01-30T13:19:20Z
dc.date.available	2018-01-30T13:19:20Z
dc.date.issued	2016
dc.description.abstract	The main objective of the study is to assess the extent to which inclusion of the possibility of skewness in the density functionaffects thequality ofreturn rate distribution modelling. Three basie distribution types shallbe used to this end,i.e.normal distribution, Student's t-distribution and GED distribution. Additionally, the significance of skewness for modelling normal and logarithmic return rate shall be determined, as well as differences inreturn rate distribution skewness on both maturę and developing capital markets.For this purpose,return rates onthe S&P500 and WIGindices shall be subjectedto modelling.	en
dc.identifier.citation	Czyżycki, R., (2016), Skewness in return rate distribution modelling, [in:] MODERN CONDITIONS OF DEVELOPMENT-Economics and Management, Celje, pp. 55-69	en
dc.identifier.isbn	978-961-6562-80-5
dc.identifier.uri	https://open.icm.edu.pl/handle/123456789/14361
dc.language.iso	en
dc.publisher	University of Maribor,Faculty ofLogistics, Celje, Slovenia	en
dc.rights	Uznanie autorstwa-Na tych samych warunkach 3.0 Polska	*
dc.rights.uri	http://creativecommons.org/licenses/by-sa/3.0/pl/	*
dc.subject	skewness	en
dc.subject	modelling ofreturn rate distribution	en
dc.subject	normal symmetrical distribution	en
dc.subject	normal skew distribution	en
dc.subject	skew Student's t-distribution	en
dc.subject	Student's t-distribution	en
dc.subject	GEDdensity function	en
dc.subject	skew GED density function	en
dc.title	Skewness in return rate distribution modelling	en
dc.type	bookPart	en