Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various types of historical simulation. Currently plain-, age-, volatility-weighted- and filtered historical simulation are implemented in this package. Volatility weighting can be carried out via an exponentially weighted moving average model (EWMA) or other GARCH-type models. The performance can be assessed via Traffic Light Test, Coverage Tests and Loss Functions. The methods of the package are described in Gurrola-Perez, P. and Murphy, D. (2015) <https://EconPapers.repec.org/RePEc:boe:boeewp:0525> as well as McNeil, J., Frey, R., and Embrechts, P. (2015) <https://ideas.repec.org/b/pup/pbooks/10496.html>.
Version: 1.1.4 Depends: R (≥ 2.10) Imports: dygraphs, ggplot2, graphics, progress, rugarch, shiny, shinyjs, smoots, stats, yfR, xts Published: 2024-06-08 DOI: 10.32614/CRAN.package.quarks Author: Sebastian Letmathe [aut, cre] Maintainer: Sebastian Letmathe <sebastian.let at t-online.de> License: GPL-3 NeedsCompilation: no Materials: README NEWS CRAN checks: quarks results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=quarks to link to this page.
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