Dejan Živkov

Novi Sad Business School

Vladimira Perica-Valtera 4

Bulevar kralja Petra I 38

Novi Sad, 21000

Serbia

SCHOLARLY PAPERS

3

DOWNLOADS

3

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Empirical Analysis of Oil Risk-Minimizing Portfolios: The DCC–GARCH–MODWT Approach

Journal of Operational Risk, Forthcoming
Number of pages: 27 Posted: 28 Jan 2020
Dejan Živkov, Jovan Njegić and Vladimir Zakic
Novi Sad Business School, Novi Sad Business School and University of Belgrade - Faculty of Agriculture
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Abstract:

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oil hedging, portfolio, risk-minimizing metrics, heterogeneous assets, wavelet, rolling DCC–GARCH model

2.

Dynamic Correlation between Stock Returns and Exchange Rate and its Dependence on the Conditional Volatilities – The Case of Several Eastern European Countries

Bulletin of Economic Research, Vol. 68, Issue S1, pp. 28-41, 2016
Number of pages: 14 Posted: 28 Dec 2016
Dejan Živkov, Jovan Njegić and Jasmina Pavlović
Novi Sad Business School, Novi Sad Business School and Novi Sad Business School
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Abstract:

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Dynamic Conditional Correlation; East European markets; exchange rate; stocks; rolling regression

3.

Portfolio Selection between a Mature Market and Selected Emerging Markets Indices in the Presence of Structural Breaks

Bulletin of Economic Research, Vol. 71, Issue 3, pp. 439-465, 2019
Number of pages: 27 Posted: 05 May 2020
Jovan Njegić, Dejan Živkov and Mirela Momcilovic
Novi Sad Business School, Novi Sad Business School and affiliation not provided to SSRN
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Abstract:

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emerging markets, portfolio optimization, structural breaks