Title |
Pasyvumo problemos tyrimas Baltijos šalių akcijų rinkose / |
Translation of Title |
Analysis of passivity in the Baltic equity market. |
Authors |
Belovas, Igoris ; Kabašinskas, Audrius ; Sakalauskas, Leonidas |
DOI |
10.15388/LMR.2006.30729 |
Full Text |
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Is Part of |
Lietuvos matematikos rinkinys.. Vilnius : Matematikos ir informatikos institutas. 2006, T. 46, spec, nr, p. 289-294.. ISSN 0132-2818 |
Keywords [eng] |
Zero returns of stock ; Stable laws ; Mixed distribution ; Goodness-of-fit ; Characteristic function method ; Market passivity |
Abstract [eng] |
The Baltic States equity market is a challenge for investors and financial analysts. Unfortunately strong passivity is observed in "young" markets, therefore any (Gaussian, alfa-stable etc) distribution fitting tests (Anderson-Darling, Kolmogorov-Smirnov, etc.) are poorly applicable. Improvement based on mixed distributions is proposed and its adequacy in the Baltic States market is tested, In this paper we use Koutrouvelis goodness-of-fit test and modified x2 test. |
Published |
Vilnius : Matematikos ir informatikos institutas |
Type |
Journal article |
Language |
Lithuanian |
Publication date |
2006 |
CC license |
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