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pro vyhledávání: '"Ivana Tomas Zikovic"'
In this paper we analyze the relative performance of 13 VaR models using daily returns of WTI, Brent, natural gas and heating oil one-month futures contracts. After obtaining VaR estimates we evaluate the statistical significance of the differences i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::0be4ff02e850b57bbac8b9db1df4cfb8
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_14_12.pdf
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_14_12.pdf
Autor:
Trstenjak, Ani (AUTHOR), Tomas Žiković, Ivana1 (AUTHOR) ivana.tomas.zikovic@efri.hr, Žiković, Saša (AUTHOR)
Publikováno v:
Environment, Development & Sustainability. Dec2023, p1-31.
Autor:
Dimitrić, Mira1 (AUTHOR), Tomas Žiković, Ivana1 (AUTHOR) ivana.tomas.zikovic@efri.hr, Arbula Blecich, Andrea1 (AUTHOR)
Publikováno v:
Economic Research-Ekonomska Istrazivanja. Dec2019, Vol. 32 Issue 1, p1977-1993. 17p.
Publikováno v:
Economic & Social Development: Book of Proceedings; 11/1/2018, p172-182, 11p
This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processe