Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Poklepović, Tea"'
Publikováno v:
Business Systems Research, Vol 9, Iss 2, Pp 18-34 (2018)
Background: Since high-frequency data have become available, an unbiased volatility estimator, i.e. realized variance (RV) can be computed. Commonly used models for RV forecasting suffer from strong persistence with a high sensitivity to the returns
Externí odkaz:
https://doaj.org/article/d3ca081e79c747cf83868a536b9fe0c8
Publikováno v:
Business Systems Research, Vol 5, Iss 3, Pp 67-81 (2014)
Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing w
Externí odkaz:
https://doaj.org/article/86dae3e135ac48dd84c6946f7301ec6c
Quantifying economic uncertainty, i.e. an environment in which little or nothing is known about the future state of the economy, poses a challenge to both market participants and public authorities since it is not observable, but rather latent variab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::e1a2b5518d226771230bd87c5fdd24cd
https://www.bib.irb.hr/803619
https://www.bib.irb.hr/803619
Publikováno v:
Croatian Operational Research Review, Vol 3, Iss 1, Pp 28-40 (2012)
Croatian Operational Research Review
Volume 3
Issue 1
Croatian Operational Research Review
Volume 3
Issue 1
Yield curve represents a relationship between the rate of return and maturity of certain securities. A range of activities on the market is determined by the abovementioned relationship ; therefore its significance is unquestionable. Besides that, it
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::e92ee942d6d465c2b0adcd2d26db11c8
http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142293
http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142293
Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-vari
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::034fdf85ffad98c0c634bd1659c977a0
The purpose of this paper is to investigate which of the proposed parametric models for extracting risk-neutral density ; among Black- Scholes Merton, mixture of two log-normals and generalized beta ; give the best fit. The model that fits sample dat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::f36f244d77d8e75673bddf4ef7483ba2
https://www.bib.irb.hr/791344
https://www.bib.irb.hr/791344
Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2677a460394cbad796fed905b7dec521
Autor:
Aljinović, Zdravka, Poklepović, Tea
Yield curve represents a relationship between the rate of return and maturity of certain securities. A range of activities on the market is determined by the abovementioned relationship ; therefore its significance is unquestionable. Besides that, it
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::66f86a3bcf7354008d2f653cf93fde5d
https://www.bib.irb.hr/678557
https://www.bib.irb.hr/678557
Modern finance is constantly discovering different tools and methods for prediction of future business results of companies and stock price movements more exactly. Although the “perfect predictor” is a mere illusion, the obsession of finding it i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::7db196ed0b1694f24fd7551be73ff529
https://www.bib.irb.hr/678639
https://www.bib.irb.hr/678639
The aim of this paper is to develop decision- making model for selecting optimal portfolio in stock exchange based on technical and fundamental analysis. In the first step of the model the set of stocks are selected based on technical analysis. In th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=57a035e5b1ae::7204bac24018eb0a42bd1056eea4338d
https://www.bib.irb.hr/803627
https://www.bib.irb.hr/803627