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Search Result for: (historical simulation)
Document Title Author Issue Date
Market Risk Quantifications: Historical Simulati.. [Baharul-Ulum, Zatul K. A.] 11-21-2013
Back-testing Value at Risk Models on Indian Stoc.. [Iyer, Suresh A.S.][Mittal, Shagun] 11-3-2013
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
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
A Comparison of Heavy-Tailed VaR Estimates and F.. [Nozari, Milad][Raei, Sepideh M.][Jahangiri, Pedram][Bahramgiri, Mohsen] 6-17-2012
The Historical Simulation Method for Value-at-Ri.. [Sharma, Meera] 5-6-2012
Pitfalls in Backtesting Historical Simulation Va.. [Escanciano, J. Carlos][Pei, Pei] 5-6-2012
Bonds Historical Simulation Value at Risk [Gaspar, Raquel][Esquivel, Manuel L.][Real, P. C.][Beleza Sousa, J.] 4-6-2012
Value at Risk - Which One is Better: Historical .. [Steelyana, Evi] 12-16-2011
Backtesting Value-at-Risk: A comparison between .. [Brandolini, Dario][Colucci, Stefano] 12-5-2011
On the Coherency of Historical Simulation (VaR) [Dahl, Roy Endre] 8-31-2011
Value-at-Risk Forecasting Ability of Filtered Hi.. [Adcock, C_hris][Areal, Nelson][Oliveira, Benilde] 5-22-2011
Hybrid Historical Simulation VaR and ES: Perform.. [Filer, Randall K.] 12-28-2010
Combining Non-Constant Weights with Historical S.. [Rebonato, Riccardo][Shanbhogue, Vasant] 12-1-2010
A Bootstrapped Historical Simulation Value at Ri.. [Dutta, Debashis][Bhattacharya, Basabi] 10-2-2010
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