文章基本信息

标题：Return distribution and value at risk estimation for BELEX15
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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