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Application of the Regression Analysis of Financial Time Series in Portfolio Risk Management

dc.contributor.advisorĐorđević, Vera
dc.creatorNjegić, Jovan
dc.date.accessioned2016-01-05T13:20:49Z
dc.date.available2016-01-05T13:20:49Z
dc.date.available2020-07-03T16:00:29Z
dc.date.issued2014-11-25
dc.identifier.urihttp://eteze.ni.ac.rs/application/showtheses?thesesId=1759
dc.identifier.urihttps://nardus.mpn.gov.rs/handle/123456789/3881
dc.identifier.urihttps://fedorani.ni.ac.rs/fedora/get/o:958/bdef:Content/download
dc.identifier.urihttp://vbs.rs/scripts/cobiss?command=DISPLAY&base=70052&RID=533658262
dc.description.abstractIn developed financial markets, there is an urgent need of the participants for examination, comparison and prediction of volatility in the process of the investment decision making. The above requirements have caused a significant number of studies of financial markets. Unlike the developed financial markets which are connected with numerous very detailed and extensive research on the movement of volatility, this area is still quite unexplored in the financial markets of Serbia and in the region. According to the authors' knowledge, there is still no research of volatility of the financial markets of South Eastern Europe in the terms of their accession to the European Union. Given the fact of accession of the observed countries to The European Union, the assumption is that the process of harmonization of regulations on financial markets, as well as closer linkage of these markets to the markets of the European Union, will result in the transformation of financial markets themselves, which indicates the importance of such research. The subject of the thesis is to investigate the effect of accession of these countries to the EU and the dynamics of the volatility characteristics of their financial markets in order to investigate the influence on portfolio risk. These influences are investigated by modelling the volatility of stock market indices of the observed countries in Eastern Europe and by application of various methods for the creation of optimal portfolio.en
dc.formatapplication/pdf
dc.languagesr
dc.publisherУниверзитет у Нишу, Економски факултетsr
dc.rightsopenAccessen
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/
dc.sourceУниверзитет у Нишуsr
dc.subjectFinansijska tržištasr
dc.subjectregression analysisen
dc.subjectportfolio managementen
dc.subjectfinancial time series modelingen
dc.subjectrisk managementen
dc.subjectupravljanje portrfoliomsr
dc.subjectmodeliranje finansijskih vremenskih serijasr
dc.subjectupravljanje rizicimasr
dc.titlePrimena regresione analize finansijskih vremenskih serija u upravljanju portfolio rizicimasr
dc.titleApplication of the Regression Analysis of Financial Time Series in Portfolio Risk Managementen
dc.typedoctoralThesisen
dc.rights.licenseBY-NC
dcterms.abstractЂорђевић, Вера; Његић, Јован; Примена регресионе анализе финансијских временских серија у управљању портфолио ризицима; Примена регресионе анализе финансијских временских серија у управљању портфолио ризицима;
dc.identifier.fulltexthttps://nardus.mpn.gov.rs/bitstream/id/51853/Disertacija.pdf
dc.identifier.fulltexthttp://nardus.mpn.gov.rs/bitstream/id/51854/Njegic_Jovan.pdf
dc.identifier.fulltexthttps://nardus.mpn.gov.rs/bitstream/id/51854/Njegic_Jovan.pdf
dc.identifier.fulltexthttp://nardus.mpn.gov.rs/bitstream/id/51853/Disertacija.pdf
dc.identifier.rcubhttps://hdl.handle.net/21.15107/rcub_nardus_3881


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