Return distribution and value at risk estimation for BELEX15
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 con...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Belgrade
2011-01-01
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| Series: | Yugoslav Journal of Operations Research |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-0243/2011/0354-02431101103D.pdf |