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Now showing items 1-4 of 4
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Decay factor optimisation in time weighted simulation - Evaluating VaR performance
(ELSEVIER, 2011)We propose an optimisation approach for determining the optimal decay factor in time weighted (BRW) simulation. The backtesting of the BRW simulation, which involves different decay factors, together with a broad range of ... -
Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia
(Zbornik Radova Ekonomskog Fakultet au Rijeci, 2009)We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition ... -
Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia
(UNIV RIJEKA, FAC ECOMOMICS, 2009)We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition ... -
MARKET PORTFOLIO IMPACT ON TEXTILE, WEARING APPAREL AND LEATHER INDUSTRIES IN TURKEY: SHARPE DIAGONAL MODEL APPROACH
(NATIONAL ACAD MANAGEMENT, 2010)In this paper we have examined the use of the Sharpe diagonal model as a way to assess the risk of the textile, wearing apparel, and leather industries in Turkey within the framework of the CAPM over the period between ...
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