(Mobile ebook) Simulating Security Returns: A Filtered Historical Simulation Approach






 | #3994318 in eBooks |  2014-10-14 |  2014-10-14 | File Name: B00P15DT6Q


||About the Author|Robert Engle, New York University, USA Kostas Giannopoulos, Neapolis University, Cyprus Loriano Mancini, École polytechnique fédérale de Lausanne, Switzerland Les Vosper, unaffiliated, UK

Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community.

Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the re...


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