Daniel Jassy, CFA, is an Investopedia Academy instructor and the founder of SPYderCRusher Research. He contributes to Excel and Algorithmic Trading. Robert Kelly is managing director of XTS Energy LLC ...
This study modifies the filtered historical simulation developed by Barone-Adesi et al, using a general power weighted moving average estimator simulation to forecast value-at-risk (VaR). Our proposed ...
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