%0 Journal Article
%T Return distribution and value at risk estimation for BELEX15
%A £¿ori£¿ Dragan
%A Nikoli£¿-£¿ori£¿ Emilija
%J Yugoslav Journal of Operations Research
%D 2011
%I University of Belgrade
%R 10.2298/yjor1101103d
%X The aim of this paper is to find distributions that adequately describe returns of the Belgrade Stock Exchange index BELEX15. The sample period covers 1067 trading days from 4 October 2005 to 25 December 2009. The obtained models were considered in estimating Value at Risk ( VaR ) at various confidence levels. Evaluation of VaR model accuracy was based on Kupiec likelihood ratio test.
%K Value at risk
%K return distributions
%K Kupiec test
%K BELEX15
%U http://www.doiserbia.nb.rs/img/doi/0354-0243/2011/0354-02431101103D.pdf