Does the assumption on innovation process play an important role for filtered historical simulation model?
Year of publication: |
2018
|
---|---|
Authors: | Altun, Emrah ; Tatlidil, Huseyin ; Ozel, Gamze ; Nadarajah, Saralees |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 11.2018, 1, p. 1-13
|
Publisher: |
Basel : MDPI |
Subject: | Filtered Historical Simulation Model | Value-at-Risk | volatility | backtesting |
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