Return distribution and value at risk estimation for BELEX15
| Autor: | Đorić Dragan, Nikolić-Đorić Emilija |
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| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: | |
| Zdroj: | Yugoslav Journal of Operations Research, Vol 21, Iss 1, Pp 103-118 (2011) |
| Druh dokumentu: | article |
| ISSN: | 0354-0243 1820-743X |
| DOI: | 10.2298/YJOR1101103D |
| Popis: | 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. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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