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Search: subject:"historical simulation"
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Risikomaß
44
Risk measure
44
Simulation
44
historical simulation
34
Theorie
30
ARCH model
29
ARCH-Modell
29
Theory
28
Schätzung
23
Estimation
21
Portfolio selection
21
Portfolio-Management
21
Historical simulation
20
Value-at-Risk
18
Risikomanagement
17
Risk management
17
GARCH
13
value-at-risk
13
Filtered historical simulation
12
Historical Simulation
12
Volatilität
12
Volatility
11
Risiko
10
Schätztheorie
10
extreme value theory
10
filtered historical simulation
10
Risk
9
Estimation theory
8
Filtered Historical Simulation
8
VaR
8
Value at Risk
8
Zeitreihenanalyse
8
Ausreißer
7
Extreme Value Theory
7
Forecasting model
7
Monte Carlo simulation
7
Outliers
7
Prognoseverfahren
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RiskMetrics
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81
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35
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English
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35
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2
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Chlebus, Marcin
4
Daníelsson, Jón
4
Gurrola-Perez, Pedro
4
Auer, Benjamin R.
3
Li, Johnny Siu-Hang
3
Louzis, Dimitrios P.
3
Mögel, Benjamin
3
Pai, Jeffrey
3
Vries, Casper G. de
3
Xanthopoulos-Sisinis, Spyros
3
Zikovic, Sasa
3
Ahmad Baharul Ulum, Zatul Karamah Binti
2
Altun, Emrah
2
Angelidis, Timotheos
2
Audrino, Francesco
2
Barone-Adesi, Giovanni
2
Benos, Alexandros
2
Bianchi, Michele Leonardo
2
Dixon, Peter B.
2
Filer, Randall
2
Francq, Christian
2
Frydenberg, Stein
2
Gallali, Med Imen
2
Giannopoulos, Kostas
2
Haberman, Steven
2
Kalyvas, Lampros
2
Kumaran, Sunitha
2
Li, Jackie
2
Murphy, David
2
Nadarajah, Saralees
2
Ozel, Gamze
2
Polak, Pawel
2
Refenes, Apostolos P.
2
Rimmer, Maureen
2
Scholz, Peter
2
Sfetsos, Athanasios
2
Tatlidil, Huseyin
2
Trojani, Fabio
2
Tu, Chien Heng
2
Ulrych, Urban
2
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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
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1
School of Economics and Political Science, Universität St. Gallen
1
School of Management, Yale University
1
Siauliai University
1
Society for Computational Economics - SCE
1
Tinbergen Institute
1
Tinbergen Instituut
1
de Nederlandsche Bank
1
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The journal of risk model validation
5
Journal of econometrics
3
Multinational Finance Journal
3
The European journal of finance
3
CESifo Working Paper
2
CPQF Working Paper Series
2
Economic Modelling
2
Economic modelling
2
International Journal of Financial Services Management
2
MPRA Paper
2
Quantitative finance
2
Research paper series / Swiss Finance Institute
2
South East European Journal of Economics and Business
2
The journal of financial market infrastructures
2
The journal of investment strategies
2
Tinbergen Institute Discussion Papers
2
Working papers
2
Advances in Applied General Equilibrium Modeling
1
Advances in Complex Systems (ACS)
1
Agricultural Finance Review
1
Agricultural finance review
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied Econometrics
1
Asia-Pacific Financial Markets
1
Asia-Pacific financial markets
1
Asia-Pacific journal of management research and innovation : APJMRI
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
Computational economics
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
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ECONIS (ZBW)
57
RePEc
49
EconStor
6
BASE
3
Other ZBW resources
1
Showing
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116
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1
Powerful backtests for
historical
simulation
expected shortfall models
Du, Zaichao
;
Pei, Pei
;
Wang, Xuhui
;
Yang, Tao
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Saved in:
2
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:
3
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:
4
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:
5
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:
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
Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel
;
Ulrych, Urban
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
Saved in:
8
Alternative margin models for mortgage-backed securities
Li, David
;
Cheruvelil, Roy M.
;
Baklanova, Viktoria
- In:
The journal of financial market infrastructures
11
(
2024
)
2
,
pp. 39-73
Persistent link: https://www.econbiz.de/10014556443
Saved in:
9
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:
10
Dynamic currency hedging with ambiguity
Polak, Pawel
;
Ulrych, Urban
-
2021
-
This version: August 2021
Persistent link: https://www.econbiz.de/10012614590
Saved in:
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