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Modelling Risk under Volatile Conditions: Tail Index Estimation and Validation
(KAUNAS UNIV TECHNOL, KAUNAS, 2021)
The subject of the research is to analyse and evaluate methods of investment risk modelling in dynamic, changing market circumstances, with a special focus on the assessment success of the expected effects of investment ...
Investment Environment Problem Analysis and Evaluation: an Ex Post Empirical Analysis and Performance Implications
(KAUNAS UNIV TECHNOL, KAUNAS, 2019)
The research subject is the investment environment problem analysis and the evaluation of the developing countries, namely, the Republic of Serbia, Croatia, Slovenia, and Hungary. The research problem is to determine ...
The Possibilities of Application of the Parametric and Nonparametric VaR Daily Returns Estimation - Regional Perspective
(KAUNAS UNIV TECHNOL, KAUNAS, 2017)
The subject of this research is to test the performances of the parametric and nonparametric VaR models in the markets of the countries of the Southeast European region. The research objective is to provide concrete results ...