If the movements in the risk factors have positive autocorrelation from one day to the next, can

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If the movements in the risk factors have positive autocorrelation from one day to the next, can we bootstrap on the changes in the risk factors?

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:20 AM

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If the movements in the risk factors have positive autocorrelation from one day to the next, can

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Not directly The bootstrap resamples data at rando...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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