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Search: subject:"Historical simulation"
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historical simulation
21
Simulation
13
Risikomaß
12
Risk measure
12
Historical Simulation
11
Theorie
11
ARCH model
9
ARCH-Modell
9
Theory
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Value-at-Risk
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Portfolio selection
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Value at Risk
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Extreme Value Theory
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Filtered Historical Simulation
6
GARCH
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extreme value theory
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value-at-risk
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Risk management
5
RiskMetrics
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Volatilität
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Welt
5
Financial Regulation
4
Risiko
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Schätztheorie
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Schätzung
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Tail Density Estimation
4
Volatility
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backtesting
4
bootstrapping
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filtered historical simulation
4
financial crisis
4
Expected Shortfall
3
Forecasting model
3
Kapitaleinkommen
3
Monte Carlo simulation
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Prognoseverfahren
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Risk
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Statistical distribution
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Free
52
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Book / Working Paper
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Article
18
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Working Paper
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Daníelsson, Jón
4
Vries, Casper G. de
3
Zikovic, Sasa
3
Altun, Emrah
2
Auer, Benjamin R.
2
Chlebus, Marcin
2
Dixon, Peter B.
2
Filer, Randall
2
Gurrola-Perez, Pedro
2
Kumaran, Sunitha
2
Murphy, David
2
Mögel, Benjamin
2
Nadarajah, Saralees
2
Ozel, Gamze
2
Rimmer, Maureen
2
Scholz, Peter
2
Tatlidil, Huseyin
2
Walther, Ursula
2
Aktan, Bora
1
Angelidis, Timotheos
1
Antwi, Henry Asante
1
Audrino, Francesco
1
Ayegba, James Onuche
1
BARONE-ADESI, Giovanni
1
Barz, Till
1
Bautista, Carlos C.
1
Bawagan, Bayani Victor
1
Benos, Alexandros
1
Bianchi, Michele Leonardo
1
Bonsu, Emmanuel Osei
1
Bräutigam, Marcel
1
Buberkoku, Onder
1
Buczyńsk, Mateusz
1
CORVASCE, Giuseppe
1
Christodoulou-Volos, Christos
1
Christoffersen, Peter
1
Dixon, Peter
1
Du, Shengwu
1
Fabozzi, Frank J.
1
Fantazzini, Dean
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Banca d'Italia
1
Bank of England
1
CESifo
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Centre of Policy Studies and Impact Project (COPS), Victoria University
1
Cowles Foundation for Research in Economics, Yale University
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Econometric Society
1
Frankfurt School of Finance and Management
1
HAL
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
Provozně ekonomická fakulta, Mendelova Univerzita v Brnĕ
1
School of Management, Yale University
1
Siauliai University
1
Society for Computational Economics - SCE
1
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1
Tinbergen Instituut
1
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1
de Nederlandsche Bank
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Multinational Finance Journal
3
CESifo Working Paper
2
CPQF Working Paper Series
2
MPRA Paper
2
Tinbergen Institute Discussion Papers
2
Working papers
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied Econometrics
1
Bank of England working papers
1
CESifo Working Paper Series
1
CESifo working papers
1
CIRANO Working Papers
1
Centre of Policy Studies/IMPACT Centre Working Papers
1
CoPS working paper
1
Cogent Economics & Finance
1
Cogent economics & finance
1
Computing in Economics and Finance 2005
1
Cowles Foundation Discussion Papers
1
Discussion paper / Tinbergen Institute
1
Econometric Society 2004 Australasian Meetings
1
Ekonomika a managment
1
Finance and economics discussion series
1
HSC Research Reports
1
International Journal of Academic Research in Accounting, Finance and Management Sciences
1
International Journal of Energy Economics and Policy : IJEEP
1
Journal of Risk and Financial Management
1
Journal of risk and financial management : JRFM
1
MENDELU Working Papers in Business and Economics
1
Philippine Review of Economics
1
Politická ekonomie
1
Politická ekonomie : teorie, modelování, aplikace
1
Prague Economic Papers
1
Research paper series / Swiss Finance Institute
1
Statistics and Econometrics Working Papers
1
Statistische Diskussionsbeiträge
1
Swiss Finance Institute Research Paper Series
1
Temi di discussione (Economic working papers)
1
Tinbergen Institute Discussion Paper
1
WO Research Memoranda (discontinued)
1
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RePEc
30
ECONIS (ZBW)
15
EconStor
6
BASE
1
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1
Portfolio margining using PCA latent factors
Du, Shengwu
;
Nesmith, Travis D.
-
2025
Persistent link: https://www.econbiz.de/10015406665
Saved in:
2
Estimating tail risk in ultra-high-frequency cryptocurrency data
Giannopoulos, Kostas
;
Nekhili, Ramzi
; …
-
2024
nonlinearity and hidden dependencies pose challenges. In this study, the filtered
historical
simulation
is used to generate …
Persistent link: https://www.econbiz.de/10015338207
Saved in:
3
Herausforderungen des finanziellen Risikomanagements : eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen
Barz, Till
;
Nastansky, Andreas
-
2024
Die Quantifizierung und Begrenzung extremer Wertverluste sind von zentraler Bedeutung für das finanzielle Risikomanagement. Besonders während volatiler Marktphasen tendieren traditionelle Risikomaße dazu, Risiken fehlerhaft einzuschätzen. Die Arbeit untersucht die Risikomaße Value at Risk...
Persistent link: https://www.econbiz.de/10015121111
Saved in:
4
How do empirical estimators of popular risk measures impact pro-cyclicality?
Bräutigam, Marcel
;
Kratz, Marie
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
3
,
pp. 547-579
Persistent link: https://www.econbiz.de/10014436789
Saved in:
5
What do GTAP databases tell us about technologies for industries and regions?
Dixon, Peter B.
;
Rimmer, Maureen T.
-
2023
Persistent link: https://www.econbiz.de/10014317529
Saved in:
6
Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder
- In:
International Journal of Energy Economics and Policy : IJEEP
9
(
2019
)
2
,
pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
Saved in:
7
Modelling the downside risk potential of mutual fund returns
Kumaran, Sunitha
- In:
Cogent Economics & Finance
10
(
2022
)
1
,
pp. 1-32
standard approaches (student-t-distribution, log normal,
historical
simulation
) and sophisticated volatility models (EWMA …
Persistent link: https://www.econbiz.de/10015074012
Saved in:
8
Modelling the downside risk potential of mutual fund returns
Kumaran, Sunitha
- In:
Cogent economics & finance
10
(
2022
)
1
,
pp. 1-32
standard approaches (student-t-distribution, log normal,
historical
simulation
) and sophisticated volatility models (EWMA …
Persistent link: https://www.econbiz.de/10013462061
Saved in:
9
Dynamic currency hedging with ambiguity
Polak, Pawel
;
Ulrych, Urban
-
2021
-
This version: August 2021
Persistent link: https://www.econbiz.de/10012614590
Saved in:
10
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
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