Package: ufRisk
Type: Package
Title: Risk Measure Calculation in Financial TS
Version: 1.0.7
Description: Enables the user to calculate Value at Risk (VaR) and
        Expected Shortfall (ES) by means of various parametric and
        semiparametric GARCH-type models. For the latter the estimation
        of the nonparametric scale function is carried out by means of
        a data-driven smoothing approach. Model quality, in terms of
        forecasting VaR and ES, can be assessed by means of various
        backtesting methods such as the traffic light test for VaR and
        a newly developed traffic light test for ES. The approaches
        implemented in this package are described in e.g. Feng Y.,
        Beran J., Letmathe S. and Ghosh S. (2020)
        <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as
        Letmathe S., Feng Y. and Uhde A. (2021)
        <https://ideas.repec.org/p/pdn/ciepap/141.html>.
License: GPL-3
Encoding: UTF-8
LazyData: true
Imports: esemifar, fracdiff, rugarch, smoots, stats, utils
Depends: R (>= 2.10)
Authors@R: c(
  person("Yuanhua", "Feng", role = "aut", 
    comment = "Paderborn University, Germany"),
  person("Xuehai", "Zhang", role = "aut",
    comment = "Former research associate at Paderborn University, Germany"),
  person("Christian", "Peitz", role = "aut",
    comment = "Paderborn University, Germany"),
  person("Dominik", "Schulz", role = "aut", 
    comment = "Paderborn University, Germany"),
  person("Shujie", "Li", role = "aut", 
    comment = "Paderborn Universtiy, Germany"),
  person("Sebastian", "Letmathe", role = c("aut", "cre"),
    email = "sebastian.letmathe@uni-paderborn.de",
    comment = "Paderborn University, Germany"))
URL: https://wiwi.uni-paderborn.de/en/dep4/feng/
RoxygenNote: 7.2.3
NeedsCompilation: no
Packaged: 2026-06-20 07:41:13 UTC; root
Author: Yuanhua Feng [aut] (Paderborn University, Germany), Xuehai
        Zhang [aut] (Former research associate at Paderborn University,
        Germany), Christian Peitz [aut] (Paderborn University,
        Germany), Dominik Schulz [aut] (Paderborn University, Germany),
        Shujie Li [aut] (Paderborn Universtiy, Germany), Sebastian
        Letmathe [aut, cre] (Paderborn University, Germany)
Maintainer: Sebastian Letmathe <sebastian.letmathe@uni-paderborn.de>
Repository: https://cran.r-universe.dev
Date/Publication: 2023-10-22 10:30:31 UTC
RemoteUrl: https://github.com/cran/ufRisk
RemoteRef: HEAD
RemoteSha: 9bb6c10244b9ce7494e68e4d5ce75668455ae6e2