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Statistica descriptivă a seriilor de timp financiare
[Descriptive statistics of the financial time series]

Author

Listed:
  • Stefanescu, Răzvan
  • Dumitriu, Ramona

Abstract

Descriptive statistics facilitates the revealing of some important features of the financial variables evolutions. In this paper we present some indicators of the central tendency and the dispersion. We approach, also, the skewness and kurtosis of the financial variables.

Suggested Citation

  • Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "Statistica descriptivă a seriilor de timp financiare [Descriptive statistics of the financial time series]," MPRA Paper 72268, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:72268
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    References listed on IDEAS

    as
    1. Aadland, David, 2005. "Detrending time-aggregated data," Economics Letters, Elsevier, vol. 89(3), pages 287-293, December.
    2. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
    3. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    4. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    5. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
    6. Stefanescu, Răzvan & Dumitriu, Ramona, 2007. "Bazele Statisticii [Basic Statistics]," MPRA Paper 53048, University Library of Munich, Germany, revised 09 Sep 2007.
    7. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    8. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    9. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare [The Essentials of the Analysis of Financial Time Series]," MPRA Paper 67175, University Library of Munich, Germany.
    10. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    Cited by:

    1. Stefanescu, Răzvan & Dumitriu, Ramona, 2017. "Ajustarea seriilor de timp financiare,Partea întâi [Smoothing of financial time series, Part 1]," MPRA Paper 78329, University Library of Munich, Germany, revised 15 Apr 2017.

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other

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