Return distribution and value at risk estimation for BELEX15

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Назив:	Return distribution and value at risk estimation for BELEX15
Аутори:	Đorić, Dragan Nikolić-Đorić, Emilija
Датум издавања:	1-дец-2011
Часопис:	Yugoslav Journal of Operations Research
Сажетак:	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
Налази се у колекцијама:	Naučne i umetničke publikacije