OCENA PARAMETRA VREDNOSTI PRI RIZIKU: EKONOMETRIJSKA ANALIZA I PRISTUP TEORIJE EKSTREMNIH VREDNOSTI

Zorica Mladenović and Pavle Mladenović

Economic Annals, 2006, vol. 51, issue 171, 32 - 73

Abstract: U radu smo razmatrali različite aspekte ocenjivanja parametra vrednosti pri riziku. Posmatrali smo kretanje dnevnih prinosa akcija kompanija CISCO i INTEL, kao i tržišnog indeksa NASDAQ, u periodu: septembar 1996 – septembar 2006. godina. Koristili smo metode kojima se obuhvataju svojstva vremenski promenljivog varijabiliteta i teških repova empirijske raspodele prinosa. Osnovni zaključak rada je da se primenom standardnih ekonometrijskih metoda potcenjuje parametar vrednosti pri riziku ukoliko se eksplicitno ne modeliraju teški repovi empirijske raspodele prinosa.

Keywords: vrednost pri riziku; uslovni varijabilitet; GARCH modeli; ekstremne vrednosti; raspodele sa teškim repovima (search for similar items in EconPapers)
Date: 2006
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