ACADSTAFF UGM
| Title | : | Generalized covariance function for random variables with finite first moments |
| Author | : |
Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (1) |
| Date | : | 1 2014 |
| Keyword | : | Covariance ,covariation,generalized covariation,stable CAPM Covariance ,covariation,generalized covariation,stable CAPM |
| Abstract | : | In this paper, we consider a linear dependence measure between two random variables with finite first moments called as the generalized covariation function. The latter includes the covariation and covariance functions as special cases. We investigate some basic properties of the function and define its moment type estimator. We also investigate the numerical properties of this estimator using the simulated SαS data. We show importance of results in applications, we apply the generalized covariation function to estimate the coefficient “beta” of “stable” CAPM (Belkacem et al. [1]) using real data from Indonesian stock exchange (IDX). |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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