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1.
The behaviour of stock markets in transition economies
Timotej Jagrič, Tanja Markovič-Hribernik, Vita Jagrič, 2005, published scientific conference contribution

Abstract: In the paper we investigate the properties of the stock markets in six transition economies: Slovenia, Hungary, Poland, Russia, Slovakia and the Czech Republic. We try to find out, whether the transition has some effect on the stock markets in the sense of Efficient Market Hypothesis (EMH). According to the empirical work done in this field we suggest methodology, which will be based on a new approach for testing the validly of the EMH. In contrast to other studies, we will not only test the EMH for the whole transition process, but also investigate whether the result are stable over time. This will probably give us some additional information on the transition process in the observed countries.
Found in: osebi
Keywords: trg kapitala, analiza, kapital, tranzicija
Published: 15.10.2013; Views: 1247; Downloads: 22
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2.
Mikro in makro topologiji integraije bančnega sektorja Evropske unije
Timotej Jagrič, 2014, doctoral dissertation

Found in: osebi
Keywords: banke, bančništvo, integracija, Evropska unija, območje evra, nevronske mreže, topologija, spiralni sferični SOM, optimizacija, disertacije
Published: 10.07.2015; Views: 1793; Downloads: 34
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3.
Vpliv likvidnostnega tveganja na izračun tvegane vrednosti
Bor Bricelj, Timotej Jagrič, Sebastjan Strašek, 2013, original scientific article

Abstract: V članku uvajamo likvidnost v standardno analizo tvegane vrednosti. Osnovne VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Nadgrajene modele testiramo na podlagi domačega in tujih naborov delnic. Ugotavljamo, da likvidnostni VaR modeli ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. Le-ti metodološko na eni strani predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo pomanjkanje robustnosti. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor kljub manjši globini trga primerljivi s tistimi iz tujine.
Found in: osebi
Keywords: tvegana vrednost, likvidnost, statistični test ustreznosti
Published: 30.12.2015; Views: 1125; Downloads: 25
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