文章基本信息
- 标题：Return distribution and value at risk estimation for BELEX15
- 本地全文：下载
- 作者：Đorić Dragan ; Nikolić-Đorić Emilija
- 期刊名称：Yugoslav Journal of Operations Research
- 印刷版ISSN：0354-0243
- 电子版ISSN：1820-743X
- 出版年度：2011
- 卷号：21
- 期号：1
- 页码：103-118
- DOI：10.2298/YJOR1101103D
- 出版社：Faculty of Organizational Sciences, Belgrade, Mihajlo Pupin Institute, Belgrade, Economics Institute, Belgrade, Faculty of Transport and Traffic Engineering, Belgrade, Faculty of Mechanical Engineering, Belgrade
- 摘要：
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.
- 关键词：Value at risk; return distributions; Kupiec test; BELEX15
