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A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro Cover

A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro

Business Systems Research Journal
Volume 6 (2015): Issue 1 (March 2015)
By: Julija Cerović,  Milena Lipovina-Božović and  Saša Vujošević  
Open Access
|May 2015

Authors

Julija Cerović

julija@ac.me

Milena Lipovina-Božović

milena@ac.me

Saša Vujošević

vsasa@ac.me

DOI: https://doi.org/10.1515/bsrj-2015-0003 | Journal eISSN: 1847-9375 | Journal ISSN: 1847-8344
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Language: English
Page range: 36 - 55
Submitted on: May 10, 2014
Accepted on: Oct 31, 2014
Published on: May 9, 2015
Published by: IRENET - Society for Advancing Innovation and Research in Economy
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
Keywords:
extreme value theory,
Value at Risk,
fat tails,
GARCH,
RiskMetrics,
peak over threshold,
generalized Pareto distribution
Related subjects:
Business and economics,
Business management,
Management, organization, corporate governance,
Business management, other,
Mathematics and statistics for economists,
Mathematics

© 2015 Julija Cerović, Milena Lipovina-Božović, Saša Vujošević, published by IRENET - Society for Advancing Innovation and Research in Economy
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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