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Książka = Book ; KS/4/2002/R05P01
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
[5], 219-232 pages ; 21 cm ; Bibliography p. 232
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.
Creative Commons Attribution BY 4.0 license
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Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 15, 2021
Aug 18, 2021
34
https://rcin.org.pl./publication/242431
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni
Krawczak, Maciej Jakubowski, Andrzej Konieczny, Piotr Miklewski, Antoni