Subtitle:

Książka = Book ; KS/4/2002/R05P01

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Description:

[5], 219-232 pages ; 21 cm ; Bibliography p. 232

Type of object:

Book/Chapter

Abstract:

From theoretical point of view the cointegrated processes are well known in the theory of analysis of financial time series. Practical applications of the cointegrated processes are rather rare. The main reason of that is simple; the classical portfolio analysis is based on investigation of correlation matrices between rates of return, white the cointegrated processes analysis is based on prices of financial instruments. Therefore the classical portfolio analysis is not able to use out long time dependence of analysed variables.

Relation:

Książka = Book

Detailed Resource Type:

Book

Resource Identifier:

oai:rcin.org.pl:205777

Source:

KS-2002-04-R05P01

Language:

pol

Language of abstract:

pol

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open