Which of the following statements accurately describe filtered historical simulation? Filtered historical sumulation:

A. is only reasonable for small portfolios, and empirical evidence does not support its predictive ability.

B. is not flexible enough to capture conditional volatility and volatility clustering.

C. is the most comprehensive, and hence most complicated, of the parametric estimators.

D. combines the historical simulation model with conditional volatility models.

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金融风险管理师

Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?

2021-1-17 3:43:32

金融风险管理师

Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:

2021-1-17 3:53:57

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