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Return Distribution and Value at Risk Estimation for Belex15
Yugoslav journal of operations research, Tome 21 (2011) no. 1, p. 103 Cet article a éte moissonné depuis la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

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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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     author = {Dragan {\DJ}ori\'c and Emilija Nikoli\'c-{\DJ}ori\'c},
     title = {Return {Distribution} and {Value} at {Risk} {Estimation} for {Belex15}},
     journal = {Yugoslav journal of operations research},
     pages = {103 },
     year = {2011},
     volume = {21},
     number = {1},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/YJOR_2011_21_1_a7/}
}
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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/