Geodesic
Return Distribution and Value at Risk Estimation for Belex15
Yugoslav journal of operations research, Tome 21 (2011) no. 1, p. 103 .

Voir la notice de l'article provenant de la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

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.
Classification : 91B30, 62E99, 60G70.
Keywords: Value at risk, return distributions, Kupiec test, BELEX15. 
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Dragan Đorić; Emilija Nikolić-Đorić. Return Distribution and Value at Risk Estimation for Belex15. Yugoslav journal of operations research, Tome 21 (2011) no. 1, p. 103 . http://geodesic.mathdoc.fr/item/YJOR_2011_21_1_a7/