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Ocena Parametra Vrednosti Pri Riziku: Ekonometrijska Analiza I Pristup Teorije Ekstremnih Vrednosti

Author

Listed:
  • Zorica Mladenović
  • Pavle Mladenović

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.

Suggested Citation

  • Zorica Mladenović & Pavle Mladenović, 2006. "Ocena Parametra Vrednosti Pri Riziku: Ekonometrijska Analiza I Pristup Teorije Ekstremnih Vrednosti," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 51(171), pages 32-73, October -.
    • Handle: RePEc:beo:journl:v:51:y:2006:i:171:p:32-73
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