Combining non-constant weights with historical simulation VaR
Riccardo Rebonato, Vasant Shanbhogue · Journal of risk management in financial institutions · 2010
This paper shows how the historical simulation method can be extended to deal with a time series that displays different importance weights. The method is shown to be particularly useful in dealing with seasonality. It builds on the work by Hull and White (1998) about volatility rescaling, and it demonstrates some subtle points that arise in the presence of non-constant weights across time series.