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Empirical Investigation and Comparison of Normal and Student-t Linear VaR on the Belgrade Stock Exchange
Company: Sinteza
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: June
Resource Link: Click here to open
Pages: 298-302
Download Count: 0
View Count: 1638
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-22-2014
Publisher: Administrator
We describe theoretical and empirical linear VaR for the cases where the stock portfolio returns and the risk factor returns follow a normal distribution and Student t distribution using Belex 15 data.
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Terzic, Ivica Sign in to follow this author
Jeremic, Zoran Sign in to follow this author
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