BACKTESTING VALUE AT RISK: A COMPARISION BETWEEN FILTERED BOOTSTRAP AND HISTORICAL SIMULATION

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BRANDOLINI DARIO; COLUCCI STEFANO

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Journal Paper

Paper Information

Journal: JOURNAL OF RISK MODEL VALUATION Year:2012 | Volume:6 | Issue:4 Page(s): 0-0

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Information Journal Paper

Title

BACKTESTING VALUE AT RISK: A COMPARISION BETWEEN FILTERED BOOTSTRAP AND HISTORICAL SIMULATION

Author(s)

BRANDOLINI DARIO | COLUCCI STEFANO | Issue Writer Certificate

Keywords

Not Registered.

Abstract

Cites

PORTFOLIO OPTIMIZATION MODEL TO OPTIMIZE THE PERFORMANCES OF CLASSICAL FORECASTING STABLE PORTFOLIO RISK AND RETURN

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APA: Copy

BRANDOLINI, DARIO, & COLUCCI, STEFANO. (2012). BACKTESTING VALUE AT RISK: A COMPARISION BETWEEN FILTERED BOOTSTRAP AND HISTORICAL SIMULATION. JOURNAL OF RISK MODEL VALUATION, 6(4), 0-0. SID. https://sid.ir/paper/670396/en

Vancouver: Copy

BRANDOLINI DARIO, COLUCCI STEFANO. BACKTESTING VALUE AT RISK: A COMPARISION BETWEEN FILTERED BOOTSTRAP AND HISTORICAL SIMULATION. JOURNAL OF RISK MODEL VALUATION[Internet]. 2012;6(4):0-0. Available from: https://sid.ir/paper/670396/en

IEEE: Copy

DARIO BRANDOLINI, and STEFANO COLUCCI, “BACKTESTING VALUE AT RISK: A COMPARISION BETWEEN FILTERED BOOTSTRAP AND HISTORICAL SIMULATION,” JOURNAL OF RISK MODEL VALUATION, vol. 6, no. 4, pp. 0–0, 2012, [Online]. Available: https://sid.ir/paper/670396/en

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