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https://open.uns.ac.rs/handle/123456789/9540| Title: | Return distribution and value at risk estimation for BELEX15 | Authors: | Đorić, Dragan Nikolić-Đorić, Emilija |
Issue Date: | 1-Dec-2011 | Journal: | Yugoslav Journal of Operations Research | Abstract: | The aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 December 2009. The obtained models were considered in estimating Value at Risk ( VaR ) at various confidence levels. Evaluation of VaR model accuracy was based on Kupiec likelihood ratio test. | URI: | https://open.uns.ac.rs/handle/123456789/9540 | ISSN: | 03540243 | DOI: | 10.2298/YJOR1101103D |
| Appears in Collections: | Naučne i umetničke publikacije |
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