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Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)

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  • Giovanni Barone-Adesi
  • Kostas Giannopoulos
  • Les Vosper
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    Bibliographic Info

    Article provided by European Financial Management Association in its journal European Financial Management.

    Volume (Year): 8 (2002)
    Issue (Month): 1 ()
    Pages: 31-58

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    Handle: RePEc:bla:eufman:v:8:y:2002:i:1:p:31-58

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    Cited by:
    1. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    2. Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
    3. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
    4. Jian Zhou & Randy Anderson, 2012. "Extreme Risk Measures for International REIT Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(1), pages 152-170, June.
    5. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
    6. Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," KIER Working Papers 765, Kyoto University, Institute of Economic Research.
    7. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2295-2312, December.
    8. Müller, Ulrich A & Bürgi, Roland & Dacorogna, Michel M, 2004. "Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios," MPRA Paper 17755, University Library of Munich, Germany.
    9. Giannopoulos, Kostas, 2008. "Nonparametric, conditional pricing of higher order multivariate contingent claims," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1907-1915, September.
    10. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
    11. Audrino, Francesco & Barone-Adesi, Giovanni, 2005. "Functional gradient descent for financial time series with an application to the measurement of market risk," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 959-977, April.

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