Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?
  A. Volatility-weighted historic simulation.
  B. Correlation-weighted historic simulation.
  C. Age-weighted historic simulation.
  D. Filtered historical simulation.
  Answer:D
  The filtered historical simulation is the most comprehensive and most complicated of the non-parametric estimators. It contains both the attractions of the traditional historical simulation approach with the sophistication of models that incorporate changing volatility.