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

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

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

  • Publication Type: Article / Article
  • Volume: 11 Issue: 7
  • Publication Date: 2018
  • Doi Number: 10.3390/jrfm11010007
  • Journal Name: JOURNAL OF RISK AND FINANCIAL MANAGEMENT
  • Journal Indexes: Emerging Sources Citation Index (ESCI)
  • Page Numbers: pp.1-13
  • Keywords: Filtered Historical Simulation Model, Value-at-Risk, volatility, backtesting, CONDITIONAL HETEROSKEDASTICITY, RISK, DISTRIBUTIONS
  • Open Archive Collection: AVESIS Open Access Collection
  • Hacettepe University Affiliated: Yes