Package: quarks 1.1.4
Sebastian Letmathe
quarks: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall
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>.
Authors:
quarks_1.1.4.tar.gz
quarks_1.1.4.tar.gz(r-4.5-noble)quarks_1.1.4.tar.gz(r-4.4-noble)
quarks_1.1.4.tgz(r-4.4-emscripten)quarks_1.1.4.tgz(r-4.3-emscripten)
quarks.pdf |quarks.html✨
quarks/json (API)
NEWS
| # Install 'quarks' in R: |
| install.packages('quarks', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- DAX - German Stock Market Index (DAX) Financial Time Series Data
- DJI - Dow Jones Industrial Average (DJI) Financial Time Series Data
- FTSE100 - Financial Times Stock Exchange Index (FTSE) Financial Time Series Data
- HSI - Hang Seng Index (HSI) Financial Time Series Data
- NIK225 - Nikkei Heikin Kabuka Index (NIK) Financial Time Series Data
- SP500 - Standard and Poor's (SP500) Financial Time Series Data
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 months agofrom:d06f17ff8a. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 06 2024 |
| R-4.5-linux | OK | Nov 06 2024 |
Exports:cvgtestewmafhshslossfunploprollcastrunFTSdatatrftestvwhs
Dependencies:askpassassertthatbase64encbitbit64bslibcachemchronclicliprcodetoolscolorspacecommonmarkcpp11crayoncurldigestDistributionUtilsdplyrdygraphsevaluatefansifarverfastmapFNNfontawesomefracdifffsfurrrfuturefuture.applyGeneralizedHyperbolicgenericsggplot2globalsgluegtablehighrhmshtmltoolshtmlwidgetshttpuvhttrhumanizeisobandjquerylibjsonlitekernlabKernSmoothknitrkslabelinglaterlatticelifecyclelistenvlubridatemagrittrMASSMatrixmclustmemoisemgcvmimemulticoolmunsellmvtnormnlmenloptrnumDerivopensslparallellypillarpingrpkgconfigpracmaprettyunitsprocessxprogressprogressrpromisespspurrrquantmodR6rappdirsRColorBrewerRcppRcppArmadilloreadrrlangrmarkdownRsolnprugarchrvestsassscalesselectrshinyshinyjsSkewHyperbolicsmootssourcetoolsspdstringistringrsystibbletidyrtidyselecttimechangetinytextruncnormTTRtzdbutf8vctrsviridisLitevroomwithrxfunxml2xtablextsyamlyfRzoo
