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Pregled bibliografske jedinice broj: 352259

Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom.


Rozga, Ante; Arnerić, Josip
Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom. // International Conference on Operational Research, Časopis Investigacion Operacional
Havana, Kuba, 2009. str. 32-39 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


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Naslov
Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom.

Autori
Rozga, Ante ; Arnerić, Josip

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
International Conference on Operational Research, Časopis Investigacion Operacional / - Havana, Kuba, 2009, 32-39

Skup
International Conference on Operational Research

Mjesto i datum
Havana, Kuba, 25.02.-02.03.2008

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Volatility; Persistence; Kurtosis; Degrees of Freedom

Sažetak
In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’ s t-distribution will be presented in estimation alternative risk measures on simulated returns. As the most used measure of market risk is standard deviation of returns, i.e. volatility. However, based on volatility alternative risk measures can be estimated, for example Value-at-Risk (VaR). There are many methodologies for calculating VaR, but for simplicity they can be classified into parametric and nonparametric models. In category of parametric models the GARCH(p, q) model is used for modeling time-varying variance of returns.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekt / tema
055-0551147-1146 - Izgradnja makro-ekonometrijskog modela Hrvatske (Petar Filipić, )

Ustanove
Ekonomski fakultet, Split

Profili:

Avatar Url Josip Arnerić (autor)

Avatar Url Ante Rozga (autor)

Citiraj ovu publikaciju

Rozga, Ante; Arnerić, Josip
Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom. // International Conference on Operational Research, Časopis Investigacion Operacional
Havana, Kuba, 2009. str. 32-39 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
Rozga, A. & Arnerić, J. (2009) Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom.. U: International Conference on Operational Research, Časopis Investigacion Operacional.
@article{article, year = {2009}, pages = {32-39}, keywords = {Volatility, Persistence, Kurtosis, Degrees of Freedom}, title = {Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom.}, keyword = {Volatility, Persistence, Kurtosis, Degrees of Freedom}, publisherplace = {Havana, Kuba} }




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