FAQ

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)
Wikipedia

Topic mentions per year

Topic mentions per year

1986-2018
05101519862018

Related topics

Related topics

5 relations
Electricity price forecastingFinancial modelingMonte Carlo methods in financeQuasi-Monte Carlo methods in finance
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Related mentions per year

Related mentions per year

1936-2018
19401960198020002020
Historical simulation (finance)
Value at risk
Financial modeling
Electricity price forecasting
Monte Carlo methods in finance
Quasi-Monte Carlo methods in finance

Papers overview

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2017
2017
The Detection and Attribution Model Intercomparison Project (DAMIP v1.0) contribution to CMIP6
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
Atmospheric circulation features in the ACCESS model simulations for CMIP5: historical simulation and future projections
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
Influence of Ocean and Atmosphere Components on Simulated Climate Sensitivities
We examine the influence of alternative ocean and atmosphere subcomponents on climate model simulation of transient sensitivities… (More)
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2006
2006
Value-at-Risk Models ∗
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
Changing the Game: What Happens When Video Games Enter the Classroom?
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
Robust Conditional Variance Estimation and Value-at-Risk
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
Filtered Historical Simulation
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
Non-parametric VaR techniques . Myths and Realities
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
Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk
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
Technology and Business Cycles: How Well Do Standard Models Explain the Facts?
  • 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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