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- Historical_simulation_(finance) abstract "Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time. Unlike parametric VaR models, historical simulation does not assume a particular distribution of the asset returns. Also, it is relatively easy to implement. However, there are a couple of shortcomings of historical simulation. First of all, it imposes a restriction on the estimation assuming that asset returns are independent and identically-distributed random variables, which is not the case: from empirical evidence, it is known that asset returns are clearly not independent, as they exhibit certain patterns such as volatility clustering. The second restriction relates to time: historical simulation applies equal weight to all returns of the whole period; this is inconsistent with the diminishing predictability of data that are further away from the present. These two shortcomings lead economists and financial experts to further develop other non-parametric, semi-parametric and parametric models.".
- Historical_simulation_(finance) wikiPageExternalLink www.filteredhistoricalsimulation.com.
- Historical_simulation_(finance) wikiPageID "22440689".
- Historical_simulation_(finance) wikiPageLength "3014".
- Historical_simulation_(finance) wikiPageOutDegree "11".
- Historical_simulation_(finance) wikiPageRevisionID "623825968".
- Historical_simulation_(finance) wikiPageWikiLink Category:Mathematical_economics.
- Historical_simulation_(finance) wikiPageWikiLink Category:Monte_Carlo_methods_in_finance.
- Historical_simulation_(finance) wikiPageWikiLink Cumulative_distribution_function.
- Historical_simulation_(finance) wikiPageWikiLink Financial_modeling.
- Historical_simulation_(finance) wikiPageWikiLink Independent_and_identically-distributed_random_variable.
- Historical_simulation_(finance) wikiPageWikiLink Independent_and_identically_distributed_random_variables.
- Historical_simulation_(finance) wikiPageWikiLink Monte_Carlo_methods_in_finance.
- Historical_simulation_(finance) wikiPageWikiLink Parametric_statistics.
- Historical_simulation_(finance) wikiPageWikiLink Quasi-Monte_Carlo_methods_in_finance.
- Historical_simulation_(finance) wikiPageWikiLink Value_at_risk.
- Historical_simulation_(finance) wikiPageWikiLink Volatility_clustering.
- Historical_simulation_(finance) wikiPageWikiLinkText "Historical simulation (finance)".
- Historical_simulation_(finance) wikiPageWikiLinkText "historical simulations".
- Historical_simulation_(finance) hasPhotoCollection Historical_simulation_(finance).
- Historical_simulation_(finance) wikiPageUsesTemplate Template:Cleanup.
- Historical_simulation_(finance) wikiPageUsesTemplate Template:Financial_risk.
- Historical_simulation_(finance) wikiPageUsesTemplate Template:Reflist.
- Historical_simulation_(finance) subject Category:Mathematical_economics.
- Historical_simulation_(finance) subject Category:Monte_Carlo_methods_in_finance.
- Historical_simulation_(finance) hypernym Procedure.
- Historical_simulation_(finance) type AnatomicalStructure.
- Historical_simulation_(finance) comment "Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time. Unlike parametric VaR models, historical simulation does not assume a particular distribution of the asset returns. Also, it is relatively easy to implement. However, there are a couple of shortcomings of historical simulation.".
- Historical_simulation_(finance) label "Historical simulation (finance)".
- Historical_simulation_(finance) sameAs m.05zmx95.
- Historical_simulation_(finance) sameAs Q17139904.
- Historical_simulation_(finance) sameAs Q17139904.
- Historical_simulation_(finance) wasDerivedFrom Historical_simulation_(finance)?oldid=623825968.
- Historical_simulation_(finance) isPrimaryTopicOf Historical_simulation_(finance).