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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
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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2012
2012
An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they… 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
2010
Highly Cited
2010
We assess the potential impacts of climate change on the hydrology and water resources of the Nile River basin using a macroscale… 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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Highly Cited
2008
Highly Cited
2008
Schools appear to be facing a crisis of engaging secondary students in meaningful learning. Many are recognizing that the… 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
2001
Highly Cited
2001
Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation based… 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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