European Journal of Service Management

Wcześniej: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Service Management

ISSN: 2450-8535     eISSN: 2451-2729    OAI    DOI: 10.18276/ejsm.2018.27/2-03
CC BY-SA   Open Access 

Lista wydań / Vol. 27/2, 3/2018
Influence of the kurtosis value on the result of goodness of fit test for the daily rate of return on selected WIG20 and WIG30 companies

Autorzy: Kamila Bednarz-Okrzyńska
University of Szczecin, Faculty of Management and Economics of Services
Słowa kluczowe: kurtosis chi-squared test Gaussian distribution Laplace distribution
Rok wydania:2018
Liczba stron:10 (27-36)
Klasyfikacja JEL: C12 C13 D53 G11
Cited-by (Crossref) ?:

Abstrakt

In the paper, the modeling of empirical distributions of return rates on WIG20 and WIG30 companies was conducted. The validity of the hypothesis was tested, which stated that the fitting of theoretical distributions to empirical distributions of return rates – where the fitting was tested by the chi-squared test – depends on the value of kurtosis. In order to prove the validity of the hypothesis, studies on four sets of diversified data were conducted.
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Bibliografia

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