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Historical Simulation
Document Title Author Issue Date
Market Risk Quantifications: Historical Simulati.. [Baharul-Ulum, Zatul K. A.] 11-21-2013
An Improved Historical Simulation Method to Esti.. [Zhang, Zhigang][Zhao, Lutao][Wan, Yongtao] 9-14-2013
Value at Risk Estimation by Combining Semi-Param.. [Wang, Kaiping] 6-22-2013
Incorporating the Time-Varying Tail-Fatness into.. [Lin, Chu-hsiung][Chien, Chang-Cheng Chang][Chen, Sunwu Winfred] 5-4-2013
Portfolio Risk Management with Efficiently Simul.. [Marchioro, Marco] 4-14-2013
Empirical Value at Risk for Weak Dependent Rando.. [Ben Hariz, Samir][Kabui, Ali] 12-23-2012
Capturing Value-at-Risk in Futures Markets: A Re.. [Changchien, Chang-Cheng][Lin, Chu-hsiung][Kao, Wei-Shun] 12-20-2012
Estimating Value at Risk (VaR) using Filtered Hi.. [Roy, Indrajit] 11-8-2012
Quantification of Spread Risk by Means of Histor.. [Frisch, C_hristoph][Knöchlein, Germar] 10-14-2012
Estimating Value-at-Risk by Historical Simulatio.. [bin Ahmad, Ismail][Baharul-Ulum, Zatul K. A.] 9-19-2012
The Historical Simulation Method for Value-at-Ri.. [Sharma, Meera] 5-6-2012
Risk Management in Emerging Markets: Practical M.. [Nerouppos, Marios][Saunders, David][Xiouros, Costas][Zenios, Stavros] 4-9-2012
Bonds Historical Simulation Value at Risk [Gaspar, Raquel][Esquivel, Manuel L.][Real, P. C.][Beleza Sousa, J.] 4-6-2012
A New Method for Estimating Value at Risk with E.. [Wang, Xiaoping][Zhang, Xiangxian][Qu, Hongjian] 1-27-2012
The Empirical Distribution Function as a Tail Es.. [Einmahl, John H.J.] 11-19-2011
Anybody Can Do Value at Risk: Demystifying Nonpa.. [Powell, Robert J.][Cheung, Yun Hsing] 3-20-2011
Non-parametric Forward Looking Value-at-Risk [Nossman, Marcus][Wilhelmsson, Anders] 2-13-2011
Combining Non-Constant Weights with Historical S.. [Rebonato, Riccardo][Shanbhogue, Vasant] 12-1-2010
A General Revised Historical Simulation Method f.. [Lin, Chu-hsiung][Chien, Chang-Cheng Chang][Chen, Sunwu Winfred] 10-2-2010
Epanechnikov Kernel Estimation of Value-at-Risk [Agarwal, Ravi] 8-12-2010
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