Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?
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- Stephen Chan & Saralees Nadarajah, 2020. "Extreme Values and Financial Risk," JRFM, MDPI, vol. 13(2), pages 1-3, February.
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Keywords
Filtered Historical Simulation Model; Value-at-Risk; volatility; backtesting;All these keywords.
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