Pregled bibliografske jedinice broj: 778109
Dynamic modeling of stock and bond return correlation in Croatia
Dynamic modeling of stock and bond return correlation in Croatia // Proceedings of the 13th International Symposium on Operational Research / Zadnik Stirn, L. ; Žerovnik, J. ; Kljajić Borštnar, M. ; Drobne, S. (ur.).
Ljubljana: Slovensko društvo informatika, 2015. str. 419-424 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 778109 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Dynamic modeling of stock and bond return correlation in Croatia
Autori
Škrinjarić, Tihana ; Šego, Boško
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 13th International Symposium on Operational Research
/ Zadnik Stirn, L. ; Žerovnik, J. ; Kljajić Borštnar, M. ; Drobne, S. - Ljubljana : Slovensko društvo informatika, 2015, 419-424
ISBN
978-961-6165-45-7
Skup
The 13th International Symposium on Operational Research in Slovenia
Mjesto i datum
Bled, Slovenija, 23.09.2015. - 25.09.2015
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
DCC GARCH; Zagreb Stock Exchange; stock and bond returns; risk hedging; volatility
Sažetak
This paper employs a DCC GARCH model on Croatian stock and bond market in order to indentify the dynamic relationship between stock and bond return correlation. In that way, dynamic conditional correlations are estimated for the period June 1st 2004 to May 18th 2015 on Zagreb Stock Exchange. The results from the estimation are used in order to calculate hedge ratio and optimal portfolio weights, as well to compare the results from multiple simulated portfolios.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
POVEZANOST RADA
Ustanove:
Ekonomski fakultet, Zagreb
