Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/9540
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Đorić, Dragan | en_US |
dc.contributor.author | Nikolić-Đorić, Emilija | en_US |
dc.date.accessioned | 2019-09-30T09:16:37Z | - |
dc.date.available | 2019-09-30T09:16:37Z | - |
dc.date.issued | 2011-12-01 | - |
dc.identifier.issn | 03540243 | en_US |
dc.identifier.uri | https://open.uns.ac.rs/handle/123456789/9540 | - |
dc.description.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. | en |
dc.relation.ispartof | Yugoslav Journal of Operations Research | en |
dc.title | Return distribution and value at risk estimation for BELEX15 | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.doi | 10.2298/YJOR1101103D | - |
dc.identifier.scopus | 2-s2.0-84880821208 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/84880821208 | - |
dc.description.version | Unknown | en_US |
dc.relation.lastpage | 118 | en |
dc.relation.firstpage | 103 | en |
dc.relation.issue | 1 | en |
dc.relation.volume | 21 | en |
item.fulltext | No Fulltext | - |
item.grantfulltext | none | - |
Appears in Collections: | Naučne i umetničke publikacije |
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