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Our data says that the document:
Takashi, Isogai. (2014) Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution.
In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp14e01.
Full description at Econpapers
cites:
Hull, J. and White, A., (1998). “Incorporating volatility updating into the historical simulation method for value-at-risk.†Journal of Risk, vol.1(1), pp.5–19.
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