{"id":"https://openalex.org/W2072284271","doi":"https://doi.org/10.1080/1331677x.2015.1028243","title":"Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets","display_name":"Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W2072284271","doi":"https://doi.org/10.1080/1331677x.2015.1028243","mag":"2072284271"},"language":"en","primary_location":{"id":"doi:10.1080/1331677x.2015.1028243","doi":"https://doi.org/10.1080/1331677x.2015.1028243","is_oa":true,"landing_page_url":"https://doi.org/10.1080/1331677x.2015.1028243","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2015.1028243?needAccess=true","source":{"id":"https://openalex.org/S1014724869","display_name":"Economic Research-Ekonomska Istra\u017eivanja","issn_l":"1331-677X","issn":["1331-677X","1848-9664"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","ddh","erih-plus","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Economic Research-Ekonomska Istra\u017eivanja","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2015.1028243?needAccess=true","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Mirjana Miletic","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Mirjana Miletic","raw_affiliation_strings":["Directorate for Economic Research and Statistics, National bank of Serbia, Kralja Petra 12, 11000Belgrade, Serbia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Directorate for Economic Research and Statistics, National bank of Serbia, Kralja Petra 12, 11000Belgrade, Serbia","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060076021","display_name":"Sini\u0161a Mileti\u0107","orcid":"https://orcid.org/0000-0003-4463-3179","observed_orcids":["https://orcid.org/0000-0003-4463-3179"]},"institutions":[{"id":"https://openalex.org/I4068193","display_name":"University of Belgrade","ror":"https://ror.org/02qsmb048","country_code":"RS","type":"education","lineage":["https://openalex.org/I4068193"]}],"countries":["RS"],"is_corresponding":false,"raw_author_name":"Sinisa Miletic","raw_affiliation_strings":["Department of Finance, College for Business Economics and Entrepreneurship, Mitropolita Petra 8, 11000Belgrade, Serbia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, College for Business Economics and Entrepreneurship, Mitropolita Petra 8, 11000Belgrade, Serbia","institution_ids":["https://openalex.org/I4068193"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":770,"currency":"GBP","value_usd":944},"apc_paid":{"value":770,"currency":"GBP","value_usd":944},"fwci":3.0279,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.91807327,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"28","issue":"1","first_page":"132","last_page":"166"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9399999976158142},{"id":"https://openalex.org/keywords/var-backtesting","display_name":"VaR backtesting","score":0.7710000276565552},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.7760000228881836},{"id":"https://openalex.org/keywords/student-s-t-distribution","display_name":"t-distribution","score":0.8100000023841858},{"id":"https://openalex.org/keywords/heavy-tailed-returns","display_name":"heavy-tailed returns","score":0.8600000143051147},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.9240000247955322},{"id":"https://openalex.org/keywords/emerging-capital-markets","display_name":"emerging capital markets","score":0.7990000247955322},{"id":"https://openalex.org/keywords/central-and-eastern-europe","display_name":"Central and Eastern Europe","score":0.9359999895095825},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.5440000295639038},{"id":"https://openalex.org/keywords/riskmetrics","display_name":"RiskMetrics","score":0.6399999856948853},{"id":"https://openalex.org/keywords/historical-simulation","display_name":"historical simulation","score":0.7979999780654907},{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.6269999742507935}],"concepts":[{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.6775906682014465},{"id":"https://openalex.org/C143910263","wikidata":"https://www.wikidata.org/wiki/Q750458","display_name":"Capital market","level":2,"score":0.6025511026382446},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5891193151473999},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5744796395301819},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5472214221954346},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5343925356864929},{"id":"https://openalex.org/C2910001868","wikidata":"https://www.wikidata.org/wiki/Q458","display_name":"European union","level":2,"score":0.5211374759674072},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5064960718154907},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.48375988006591797},{"id":"https://openalex.org/C2776157432","wikidata":"https://www.wikidata.org/wiki/Q1375683","display_name":"Normality","level":2,"score":0.4614367187023163},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.44397589564323425},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4382254183292389},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.41349637508392334},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.38895753026008606},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3734390437602997},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.34854856133461},{"id":"https://openalex.org/C18547055","wikidata":"https://www.wikidata.org/wiki/Q47417","display_name":"International economics","level":1,"score":0.19131585955619812},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.14746391773223877},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.14068302512168884},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.13214150071144104},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1255348026752472},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11828657984733582},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09464794397354126},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.08665025234222412},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/1331677x.2015.1028243","doi":"https://doi.org/10.1080/1331677x.2015.1028243","is_oa":true,"landing_page_url":"https://doi.org/10.1080/1331677x.2015.1028243","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2015.1028243?needAccess=true","source":{"id":"https://openalex.org/S1014724869","display_name":"Economic Research-Ekonomska Istra\u017eivanja","issn_l":"1331-677X","issn":["1331-677X","1848-9664"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","ddh","erih-plus","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Economic Research-Ekonomska Istra\u017eivanja","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:reroxx:v:28:y:2015:i:1:p:132-166","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/1331677X.2015.1028243","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:hrcak.srce.hr:171495","doi":null,"is_oa":true,"landing_page_url":"http://hrcak.srce.hr/171495","pdf_url":null,"source":{"id":"https://openalex.org/S4306400071","display_name":"University of Zagreb University Computing Centre (SRCE)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I181343428","host_organization_name":"University of Zagreb","host_organization_lineage":["https://openalex.org/I181343428"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Economic research - Ekonomska istra\u017eivanja","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1080/1331677x.2015.1028243","doi":"https://doi.org/10.1080/1331677x.2015.1028243","is_oa":true,"landing_page_url":"https://doi.org/10.1080/1331677x.2015.1028243","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2015.1028243?needAccess=true","source":{"id":"https://openalex.org/S1014724869","display_name":"Economic Research-Ekonomska Istra\u017eivanja","issn_l":"1331-677X","issn":["1331-677X","1848-9664"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","ddh","erih-plus","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Economic Research-Ekonomska Istra\u017eivanja","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2072284271.pdf","grobid_xml":"https://content.openalex.org/works/W2072284271.grobid-xml"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W85276539","https://openalex.org/W1551275368","https://openalex.org/W1600080087","https://openalex.org/W1797150484","https://openalex.org/W1858495123","https://openalex.org/W1967130104","https://openalex.org/W1977970167","https://openalex.org/W1983812497","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2013109882","https://openalex.org/W2016010452","https://openalex.org/W2017444052","https://openalex.org/W2038822182","https://openalex.org/W2062315966","https://openalex.org/W2100406142","https://openalex.org/W2107434174","https://openalex.org/W2107956536","https://openalex.org/W2117447427","https://openalex.org/W2124814192","https://openalex.org/W2148096508","https://openalex.org/W2161884163","https://openalex.org/W2170206178","https://openalex.org/W2182533757","https://openalex.org/W2280348871","https://openalex.org/W2508009667","https://openalex.org/W2589240517","https://openalex.org/W3121849402","https://openalex.org/W3122995794","https://openalex.org/W4243838916","https://openalex.org/W4246550734","https://openalex.org/W4250580758","https://openalex.org/W4253554627"],"related_works":["https://openalex.org/W2466088050","https://openalex.org/W1907055830","https://openalex.org/W3034641719","https://openalex.org/W2182533757","https://openalex.org/W7112808319","https://openalex.org/W2255466348","https://openalex.org/W2735115432","https://openalex.org/W1554066844","https://openalex.org/W7111315033","https://openalex.org/W3121962731"],"abstract_inverted_index":{"The":[0,283,322],"aim":[1],"of":[2,10,28,54,176,180,190,206,212,265,274,285,295,304],"this":[3],"paper":[4],"is":[5,59,158,195,280],"to":[6,164,197],"investigate":[7],"the":[8,44,55,62,144,177,184,188,210,224,231,263,272,281,289,293,326],"performance":[9],"Value":[11],"at":[12],"Risk":[13],"(VaR)":[14],"models":[15,95,242,258,301,313],"in":[16,80,89,114,131,155,204,247,262,271,325],"selected":[17],"Central":[18,119],"and":[19,35,97,101,120,125,140,173,234,319],"Eastern":[20,121],"European":[21,122,132],"(CEE)":[22],"emerging":[23,115,133],"capital":[24,112,129],"markets.":[25],"Daily":[26],"returns":[27,53],"Croatian":[29],"(CROBEX),":[30],"Czech":[31],"(PX50),":[32],"Hungarian":[33],"(BUX)":[34],"Romanian":[36],"(BET)":[37],"stock":[38],"exchange":[39],"indices":[40],"are":[41,91,108,135,228],"analysed":[42,249],"for":[43,61,99,111,223,288],"period":[45,63,291],"January,":[46],"2000":[47],"\u2013":[48,66],"February,":[49,67],"2012,":[50],"while":[51,83,270],"daily":[52],"Serbian":[56],"(BELEX15)":[57],"index":[58],"examined":[60],"September,":[64],"2005":[65],"2012.":[68],"In":[69],"recent":[70],"years":[71],"there":[72],"has":[73],"been":[74],"much":[75],"research":[76],"conducted":[77],"into":[78],"VaR":[79,87,94,253,308],"developed":[81],"markets,":[82],"papers":[84],"dealing":[85],"with":[86,243,259,302,311,314],"calculation":[88],"CEE":[90,156],"rare.":[92],"Furthermore,":[93],"created":[96],"suited":[98],"liquid":[100,139],"well-developed":[102],"markets":[103,113,130],"that":[104,168,186,240,299],"assume":[105],"normal":[106,213,260,315],"distribution":[107,179,193,214,246],"less":[109,138],"reliable":[110],"economies,":[116],"such":[117],"as":[118],"Union":[123],"member":[124],"candidate":[126],"states.":[127],"Since":[128],"economies":[134],"highly":[136],"volatile,":[137],"strongly":[141],"dependent":[142],"on":[143,152,230],"unexpected":[145],"external":[146],"shocks,":[147],"market":[148,199,330],"risk":[149,200],"estimation":[150,254],"based":[151,229],"normality":[153],"assumption":[154,189,211],"countries":[157],"more":[159,201],"problematic.":[160],"This":[161],"motivates":[162],"us":[163],"implement":[165],"GARCH-type":[166,241,300,312],"methods":[167],"involve":[169],"time":[170],"varying":[171],"volatility":[172],"heavy":[174,191],"tails":[175],"empirical":[178],"returns.":[181],"We":[182],"test":[183],"hypothesis":[185],"using":[187,216],"tailed":[192],"it":[194,279],"possible":[196],"forecast":[198],"precisely,":[202],"especially":[203],"times":[205],"crisis,":[207],"than":[208,255],"under":[209],"or":[215],"historical":[217,317],"simulations":[218,318],"method.":[219],"Our":[220],"backtesting":[221,286],"results":[222,284],"last":[225],"500":[226],"observations":[227],"Kupiec":[232],"POF":[233],"Christoffersen":[235],"independence":[236],"test.":[237],"They":[238],"show":[239,298],"t":[244],"error":[245],"most":[248,327],"cases":[250,328],"give":[251],"better":[252,307],"GARCH":[256],"type":[257],"errors":[261],"case":[264,273],"a":[266,275],"99%":[267],"confidence":[268,277],"level,":[269],"95%":[276],"level":[278],"opposite.":[282],"analysis":[287],"crisis":[290],"(after":[292],"collapse":[294],"Lehman":[296],"Brothers)":[297],"t-distribution":[303],"residuals":[305],"provide":[306],"estimates":[309],"compared":[310],"distribution,":[316],"RiskMetrics":[320,323],"methods.":[321],"method":[324],"underestimates":[329],"risk.":[331]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":3},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}