Filtered Historical Simulation is a nonparametric risk estimation method that belongs to the class of historical simulation Value at Risk models, distinguished by its incorporation of volatility filtering through a conditional heteroskedastic model to adjust historical returns for current market volatility conditions.
23
Publications
2.2K
Citations
33
Authors
34
Institutions
Publications per year
2017–2026
2
Variants
Fhs
Parents
Publications
23
The hidden dangers of historical simulation
Matthew Pritsker · Journal of Banking & Finance · 2005 · 238 citations · Full text
1–5 of 23
Authors
33
- GB
7
h-index
- KG
6
h-index
- LV
4
h-index
- RF
2
h-index
- PZ
2
h-index
1–5 of 33
Institutions
34
Università della Svizzera italiana
Lugano, Switzerland
6 h-index
7 publications
692 citations
Swiss Finance Institute
Zurich, Switzerland
3 h-index
4 publications
480 citations
University of Westminster
London, United Kingdom
3 h-index
3 publications
458 citations
University of Bologna
Bologna, Italy
2 h-index
2 publications
26 citations
University of Zurich
Zurich, Switzerland
2 h-index
2 publications
330 citations
Korea Advanced Institute of Science and Technology
Daejeon, South Korea
2 h-index
4 publications
86 citations
New York University
New York, United States
2 h-index
2 publications
372 citations
Ifo Institute for Economic Research
Munich, Germany
1 h-index
1 publications
33 citations
1–8 of 34
Venues
- SSRN Electronic Journal
Repository · 6 publications · 249 citations
6
h-index
- Journal of Futures Markets
3 publications · 361 citations
3
h-index
- Journal of Financial Econometrics
2 publications · 648 citations
2
h-index
- Journal of Banking & Finance
2 publications · 295 citations
2
h-index
- Quantitative Finance
2 publications · 39 citations
2
h-index
1–5