A comparative study of the extreme value theory model in investments

10.5937/industrija42-5983 = Parametric and nonparametric VaR daily returns estimation

“…According to these results, there is a difference between VaR calculation models for BELEX15 (95%, 50 days). (Djakovic, 2013) According to the results shown in Table 2 of MANOVA analysis (p=0.000) and discriminant analysis (p=0.000), the hypotheses H 1 and H 2 are rejected, whereas the alternative hypotheses A 1 and A 2 are accepted. According to these results, there is a difference between VaR calculation models for BELEX15 (95%, 200 days).…”

“…Thus, the following hypotheses are tested in the study: The research results are derived from the author's doctoral thesis (Djakovic, 2013). The research purpose is to analyze the application performance of the tested parametric and nonparametric VaR calculation models, in the context of optimal investment decision-making.…”

An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia

“…[11] Based on the value of p=0.000 (MANOVA analysis) and p=0.000 (discriminant analysis), the hypotheses H 1 and H 2 are rejected; the alternative hypotheses A 1 and A 2 are accepted for CROBEX (97.5%; 100 days). Consequently, there is the difference and the clearly defined boundary among VaR calculation models for CROBEX (97.5%; 100 days).…”

“…The year 2006 is used as the initial period for calculating VaR. [11] Based on the 2006 Kolmogorov-Smirnov test results, it can be concluded that the values of the observed indices are not normally distributed, i.e. there are significant differences between the sampling distribution and the normal distribution, as indicated by the values of (p) for CROBEX (0.000), BUX (0.016), SBITOP (0.000) and BELEX15 (0.000) ( Table 1).…”

“…The research results are derived from the author's doctoral thesis [11] and will be useful both to academic and investment communities (public and regulatory). In fact, the results of the research should define the challenges and implementation opportunities of the selected investment risk management models, consistent with current trends in this area.…”