Rimarčík, Marián - In: Politická ekonomie 2005 (2005) 3, pp. 323-336
considered. Since foreign exchange portfolio consists of linear instruments, historical simulation and the variance-covariance …. With minimal degree of simplification we can say that variance-covariance method using exponentially weighted averages with … outcome. RiskMetrics variance-covariance approach was dominant in spite of violation of normality assumption. …