Abstract
The basic methods and properties of filtered historical simulations are highlighted and compared to alternatives in the academic literature. Measure changes through changes in the parameters of the stochastic process are contrasted to the more commonly used changes in the distribution of residual returns.
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© 2014 Giovanni Barone Adesi
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Adesi, G.B. (2014). Introduction: Simulating Security Returns. In: Adesi, G.B. (eds) Simulating Security Returns: A Filtered Historical Simulation Approach. Palgrave Pivot, New York. https://doi.org/10.1057/9781137465559_1
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DOI: https://doi.org/10.1057/9781137465559_1
Publisher Name: Palgrave Pivot, New York
Print ISBN: 978-1-349-49957-1
Online ISBN: 978-1-137-46555-9
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