Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?


ALTUN E., TATLIDİL H. H. , ÖZEL KADILAR G. , Nadarajah S.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT, vol.11, no.7, pp.1-13, 2018 (Journal Indexed in ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 11 Issue: 7
  • Publication Date: 2018
  • Doi Number: 10.3390/jrfm11010007
  • Title of Journal : JOURNAL OF RISK AND FINANCIAL MANAGEMENT
  • Page Numbers: pp.1-13
  • Keywords: Filtered Historical Simulation Model, Value-at-Risk, volatility, backtesting, CONDITIONAL HETEROSKEDASTICITY, RISK, DISTRIBUTIONS