Please use this identifier to cite or link to this item: https://open.uns.ac.rs/handle/123456789/9540
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dc.contributor.authorĐorić, Draganen_US
dc.contributor.authorNikolić-Đorić, Emilijaen_US
dc.date.accessioned2019-09-30T09:16:37Z-
dc.date.available2019-09-30T09:16:37Z-
dc.date.issued2011-12-01-
dc.identifier.issn03540243en_US
dc.identifier.urihttps://open.uns.ac.rs/handle/123456789/9540-
dc.description.abstractThe 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.en
dc.relation.ispartofYugoslav Journal of Operations Researchen
dc.titleReturn distribution and value at risk estimation for BELEX15en_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.doi10.2298/YJOR1101103D-
dc.identifier.scopus2-s2.0-84880821208-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/84880821208-
dc.description.versionUnknownen_US
dc.relation.lastpage118en
dc.relation.firstpage103en
dc.relation.issue1en
dc.relation.volume21en
item.fulltextNo Fulltext-
item.grantfulltextnone-
Appears in Collections:Naučne i umetničke publikacije
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