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… (More)
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Topic mentions per year

Topic mentions per year

1986-2018
05101519862018

Papers overview

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2017
2017
Detection and attribution (D&A) simulations were important components of CMIP5 and underpinned the climate change detection and… (More)
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2013
2013
We evaluate the performance of two versions of the ACCESS model (1.0 and 1.3) in simulating both the historical (1979−2008) and… (More)
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2012
2012
We examine the influence of alternative ocean and atmosphere subcomponents on climate model simulation of transient sensitivities… (More)
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2006
2006
In this chapter, we build first a univariate and then a multivariate filtered historical simulation (FHS) model for financial… (More)
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Highly Cited
2004
Highly Cited
2004
Kurt Squire criticizes the current organization of schools based on his experiences using Civilization III in a high school… (More)
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2000
2000
A common approach to estimating the conditional volatility of short horizon asset returns is to use an exponentially weighted… (More)
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2000
2000
A new generation of VaR models, based on historical simulation (bootstrapping), is being increasingly used in the risk management… (More)
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2000
2000
1 VaR (Value at Risk) estimates are currently based on two main techniques, the variance-covariance approach or simulation… (More)
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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… (More)
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1998
1998
  • Susanto Basu
  • 1998
How well do current business-cycle models explain historical output fluctuations? Almost a decade has passed since Plosser (1989… (More)
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