Open AccessInvestment Environment Problems Analysis and Evaluation: An Ex Post Empirical Analysis and Performance Implications
Author(s) -
Vladimir Djuro Djakovic,
Goran B. Andjelic,
Aleksandar D. Petkovic
Publication year - 2019
Publication title -
inžinerinė ekonomika
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.303
H-Index - 29
eISSN - 2029-5839
pISSN - 1392-2785
DOI - 10.5755/j01.ee.30.4.20838
Subject(s) - investment (military) , vector autoregression , extreme value theory , econometrics , economics , value (mathematics) , value at risk , statistics , risk management , mathematics , political science , finance , politics , law
The research subject is the investment environment problems analysis and evaluation of the developing countries, namely, the Republic of Serbia, Croatia, Slovenia, and Hungary. The analysis was carried out by testing and implementation of the Value-at-Risk models, i.e, the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT), with the confidence level of 95% for 100, 200 and 300 days, in the period from 2012 to 2016. The basic hypothesis of the research is that there is a relation between the successful application of the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT) and the conditions and opportunities of the investment environment of the developing countries. The research results provide a concrete knowledge of the conditions and circumstances of the investment environment in the observed markets, with a simultaneous performance assessment of the tested VaR models.