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A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments

Igor Živko orcid id orcid.org/0000-0001-6603-3110 ; Faculty of Economics and Business, University of Mostar
Mile Bošnjak orcid id orcid.org/0000-0002-7663-198X ; SKDD - CPP Smart Clear Inc.


Puni tekst: hrvatski pdf 240 Kb

str. 13-19

preuzimanja: 422

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Puni tekst: engleski pdf 240 Kb

str. 13-19

preuzimanja: 233

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Sažetak

Debt-based financial instruments are specific due to the maturity component and conventional approaches in estimating their volatility may not be applicable. This paper focuses on modeling and forecasting price volatility of sovereign debt instruments while taking into account their maturity. In doing so we propose a simple and useful technique for obtaining the desired confidence of volatility estimates. The proposed approach provides price volatility estimates for debt instruments issued by Croatian government denominated in HRK and in EUR.

Ključne riječi

debt instruments; volatility; Croatia

Hrčak ID:

171189

URI

https://hrcak.srce.hr/171189

Datum izdavanja:

21.12.2016.

Podaci na drugim jezicima: hrvatski

Posjeta: 1.306 *