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Historical simulation (finance)

Known as: Historical simulation 
Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the… Expand
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Papers overview

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Highly Cited
2016
Highly Cited
2016
Abstract. Detection and attribution (DA to contribute to the estimation of how historical emissions have altered and are altering… Expand
2015
2015
  • J. Su
  • 2015
  • Corpus ID: 15082154
This study derives the quantiles of the standardized generalized t (GT) in terms of a nonlinear equation which contains a… Expand
Highly Cited
2013
Highly Cited
2013
AbstractTropical cyclone (TC) activity is analyzed in 14 models from phase 5 of the Coupled Model Intercomparison Project (CMIP5… Expand
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Highly Cited
2011
Highly Cited
2011
Abstract. An earth system model (MIROC-ESM 2010) is fully described in terms of each model component and their interactions… Expand
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Highly Cited
2011
Highly Cited
2011
Afforestation, the conversion of croplands or marginal lands into forests, is considered one of the key climate-change mitigation… Expand
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Highly Cited
2008
Highly Cited
2008
This paper introduces biofuels sectors as energy inputs into the GTAP Data Base and to the production and consumption structures… Expand
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2007
2007
We examine the impact of adding either a VaR or a CVaR constraint to the mean-variance model when security returns are assumed to… Expand
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Highly Cited
2006
Highly Cited
2006
The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets… Expand
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2002
2002
Seismic hazard analysis is performed for a representative zone in Peru, including the city of Cusco, the citadel of Machupicchu… Expand
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Highly Cited
1998
Highly Cited
1998
This paper proposes a procedure for using a GARCH or exponentially weighted moving average model in conjunction with historical… Expand
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