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

Creative Commons License

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)

  • 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