Pregled bibliografske jedinice broj: 352259
Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom.
Dependence between Volatility, Persistence, Kurtosis and Degrees of Freedom. // International Conference on Operational Research, Časopis Investigacion Operacional
Havana, 2009. str. 32-39 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 352259 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
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, 2009, 32-39
Skup
International Conference on Operational Research
Mjesto i datum
Havana, Kuba, 25.02.2008. - 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
Projekti:
055-0551147-1146 - Izgradnja makro-ekonometrijskog modela Hrvatske (Filipić, Petar, MZOS ) ( CroRIS)
Ustanove:
Ekonomski fakultet, Split
