The aim of this paper is to investigate the performance of Value at Risk (VaR) models in selected Central and Eastern European (CEE) emerging capital markets. Daily returns of Croatian (CROBEX), Czech (PX50), Hungarian (BUX) and Romanian (BET) stock exchange indices are analysed for the period January, 2000 -February, 2012, while daily returns of the Serbian (BELEX15) index is examined for the period September, 2005 -February, 2012. In recent years there has been much research conducted into VaR in developed markets, while papers dealing with VaR calculation in CEE are rare. Furthermore, VaR models created and suited for liquid and welldeveloped markets that assume normal distribution are less reliable for capital markets in emerging economies, such as Central and Eastern European Union member and candidate states. Since capital markets in European emerging economies are highly volatile, less liquid and strongly dependent on the unexpected external shocks, market risk estimation based on normality assumption in CEE countries is more problematic. This motivates us to implement GARCH-type methods that involve time varying volatility and heavy tails of the empirical distribution of returns. We test the hypothesis that using the assumption of heavy tailed distribution it is possible to forecast market risk more precisely, especially in times of crisis, than under the assumption of normal distribution or using historical simulations method. Our backtesting results for the last 500 observations are based on the Kupiec POF and Christoffersen independence test. They show that GARCH-type models with t error distribution in most analysed cases give better VaR estimation than GARCH type models with normal errors in the case of a 99% confidence level, while in the case of a 95% confidence level it is the opposite. The results of backtesting analysis for the crisis period (after the collapse of Lehman Brothers) show that GARCH-type models with t-distribution of residuals provide better VaR estimates compared with GARCH-type models with normal distribution, historical simulations and RiskMetrics methods. The RiskMetrics method in the most cases underestimates market risk.
Influences from the modern business environment indicate the need for the incorporation of sustainability concepts from an innovation system perspective. In the presented research, we emphasize the energy efficiency concept within the frame of sustainability and innovation. The aim of this research was to underline and explore the relationships between innovation, energy efficiency, and sustainability in the construction industry. To answer the research questions, a questionnaire was created to explore the impact of the energy efficiency certification process on the innovation behavior of construction industry enterprises in Serbia. The results show that energy efficiency has supported innovation, and that there exists a relationship between sustainability and innovativeness in the construction industry. Applying energy efficiency passports has influenced the co-operation of enterprises in the construction sector and other actors in the national innovation system in Serbia. The innovation concept demonstrates that enterprises in the construction industry should be observed as a part of the wider picture—the national innovation system. In turn, the specific context of a particular national innovation system should be seen within the wider picture of national innovation systems of Central and Eastern European Countries (CEECs).
To achieve material efficiency, the ongoing initiative to improve thermal properties of family houses in the Republic of Serbia should include harmonization with internationally established and nationally adjusted principles of circular economy. The overall aim of this study was to propose a methodology for optimal decision making between alternative materials and components for energy refurbishment of façades in existing family houses. Together with developed criteria, and their belonging indicators, the methodology was tested on selected case study houses located in the central zone of the city of Belgrade. Using the VIKOR method, five suggested scenarios and three sub-scenarios for façade thermal upgrades were assessed against five determined types of criteria: Economic Cost, Function, Circularity Features, Appearance, and Innovativeness. Obtained results—ranking lists of proposed scenarios—indicate that the optimal solution for energy refurbishment of façades in existing houses could include polyurethane insulation material in combination with the wooden window frames and low-E insulation glass. In future research, it will be necessary to introduce an additional assessment criterion related to the ecological quality of proposed scenarios, as the study revealed that a gap between circularity-related quality, and ecological sustainability, of building materials could be significant.
While creating the sustainable construction systems it is crucial to innovate in production of construction materials by maximizing recycling and reuse of the materials during production and use of the buildings. The intention of this paper is to provide new insights and better understanding of sustainable oriented innovation in production of construction materials, in particular substitution of cement in mortar with waste material, fly ash, bearing in mind its huge negative impact on the environment. Previous investigations of possible use of fly ash have proven the possibility of its use for the production of cement for lightweight concrete, bricks, asphalt fillers, however the use of the fly ash in cement screeds was not considered. The aim of this work was to examine at first, justification of substitution of cement in mortar with fly ash due to its newly gained properties as change of density, compressive strength and water absorption. In order to take into account aspect of environmental protection the newly gained mechanical properties of the materials were tested in terms of its convenience for use in cement screeds.
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