API for Dowd
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
| Global functions | |
|---|---|
| ADTestStat | Man page Source code |
| AdjustedNormalESHotspots | Man page Source code |
| AdjustedNormalVaRHotspots | Man page Source code |
| AdjustedVarianceCovarianceES | Man page Source code |
| AdjustedVarianceCovarianceVaR | Man page Source code |
| AmericanPutESBinomial | Man page Source code |
| AmericanPutESSim | Man page Source code |
| AmericanPutPriceBinomial | Man page Source code |
| AmericanPutVaRBinomial | Man page Source code |
| BinomialBacktest | Man page |
| BlackScholesCallESSim | Man page Source code |
| BlackScholesCallPrice | Man page Source code |
| BlackScholesPutESSim | Man page Source code |
| BlackScholesPutPrice | Man page Source code |
| BlancoIhleBacktest | Man page Source code |
| BootstrapES | Man page Source code |
| BootstrapESConfInterval | Man page Source code |
| BootstrapESFigure | Man page Source code |
| BootstrapVaR | Man page Source code |
| BootstrapVaRConfInterval | Man page Source code |
| BootstrapVaRFigure | Man page Source code |
| BoxCoxES | Man page Source code |
| BoxCoxVaR | Man page Source code |
| CdfOfSumUsingGaussianCopula | Man page Source code |
| CdfOfSumUsingGumbelCopula | Man page Source code |
| CdfOfSumUsingProductCopula | Man page Source code |
| ChristoffersenBacktestForIndependence | Man page Source code |
| ChristoffersenBacktestForUnconditionalCoverage | Man page Source code |
| CornishFisherES | Man page Source code |
| CornishFisherVaR | Man page Source code |
| DBPensionVaR | Man page Source code |
| DCPensionVaR | Man page Source code |
| DefaultRiskyBondVaR | Man page Source code |
| Dowd-package | Man page |
| FilterStrategyLogNormalVaR | Man page Source code |
| FrechetES | Man page Source code |
| FrechetESPlot2DCl | Man page Source code |
| FrechetVaR | Man page Source code |
| FrechetVaRPlot2DCl | Man page Source code |
| GParetoES | Man page Source code |
| GParetoMEFPlot | Man page Source code |
| GParetoMultipleMEFPlot | Man page Source code |
| GParetoVaR | Man page Source code |
| GaussianCopula | Source code |
| GaussianCopulaVaR | Man page Source code |
| GumbelCopula | Source code |
| GumbelCopulaVaR | Man page Source code |
| GumbelES | Man page Source code |
| GumbelESPlot2DCl | Man page Source code |
| GumbelVaR | Man page Source code |
| GumbelVaRPlot2DCl | Man page Source code |
| HSES | Man page Source code |
| HSESDFPerc | Man page Source code |
| HSESFigure | Man page Source code |
| HSESPlot2DCl | Man page Source code |
| HSVaR | Man page Source code |
| HSVaRDFPerc | Man page Source code |
| HSVaRESPlot2DCl | Man page Source code |
| HSVaRFigure | Man page Source code |
| HSVaRPlot2DCl | Man page Source code |
| HillEstimator | Man page Source code |
| HillPlot | Man page Source code |
| HillQuantileEstimator | Man page Source code |
| InsuranceVaR | Man page Source code |
| InsuranceVaRES | Man page Source code |
| JarqueBeraBacktest | Man page Source code |
| KSTestStat | Man page Source code |
| KernelESBoxKernel | Man page Source code |
| KernelESEpanechinikovKernel | Man page Source code |
| KernelESNormalKernel | Man page Source code |
| KernelESTriangleKernel | Man page Source code |
| KernelVaRBoxKernel | Man page Source code |
| KernelVaREpanechinikovKernel | Man page Source code |
| KernelVaRNormalKernel | Man page Source code |
| KernelVaRTriangleKernel | Man page Source code |
| KuiperTestStat | Man page Source code |
| LogNormalES | Man page Source code |
| LogNormalESDFPerc | Man page Source code |
| LogNormalESFigure | Man page Source code |
| LogNormalESPlot2DCL | Man page Source code |
| LogNormalESPlot2DHP | Man page Source code |
| LogNormalESPlot3D | Man page Source code |
| LogNormalVaR | Man page Source code |
| LogNormalVaRDFPerc | Man page Source code |
| LogNormalVaRETLPlot2DCL | Man page Source code |
| LogNormalVaRFigure | Man page Source code |
| LogNormalVaRPlot2DCL | Man page Source code |
| LogNormalVaRPlot2DHP | Man page Source code |
| LogNormalVaRPlot3D | Man page Source code |
| LogtES | Man page Source code |
| LogtESDFPerc | Man page Source code |
| LogtESPlot2DCL | Man page Source code |
| LogtESPlot2DHP | Man page Source code |
| LogtESPlot3D | Man page Source code |
| LogtVaR | Man page Source code |
| LogtVaRDFPerc | Man page Source code |
| LogtVaRPlot2DCL | Man page Source code |
| LogtVaRPlot2DHP | Man page Source code |
| LogtVaRPlot3D | Man page Source code |
| LongBlackScholesCallVaR | Man page Source code |
| LongBlackScholesPutVaR | Man page Source code |
| LopezBacktest | Man page Source code |
| MEFPlot | Man page Source code |
| NormalES | Man page Source code |
| NormalESConfidenceInterval | Man page Source code |
| NormalESDFPerc | Man page Source code |
| NormalESFigure | Man page Source code |
| NormalESHotspots | Man page Source code |
| NormalESPlot2DCL | Man page Source code |
| NormalESPlot2DHP | Man page Source code |
| NormalESPlot3D | Man page Source code |
| NormalQQPlot | Man page Source code |
| NormalQuantileStandardError | Man page Source code |
| NormalSpectralRiskMeasure | Man page Source code |
| NormalVaR | Man page Source code |
| NormalVaRConfidenceInterval | Man page Source code |
| NormalVaRDFPerc | Man page Source code |
| NormalVaRFigure | Man page Source code |
| NormalVaRHotspots | Man page Source code |
| NormalVaRPlot2DCL | Man page Source code |
| NormalVaRPlot2DHP | Man page Source code |
| NormalVaRPlot3D | Man page Source code |
| PCAES | Man page Source code |
| PCAESPlot | Man page Source code |
| PCAPrelim | Man page Source code |
| PCAVaR | Man page Source code |
| PCAVaRPlot | Man page Source code |
| PickandsEstimator | Man page |
| PickandsPlot | Man page Source code |
| PlotPos | Source code Source code |
| ProductCopula | Source code |
| ProductCopulaVaR | Man page Source code |
| RepMat | Source code Source code |
| ShortBlackScholesCallVaR | Man page Source code |
| ShortBlackScholesPutVaR | Man page Source code |
| StopLossLogNormalVaR | Man page Source code |
| TQQPlot | Man page Source code |
| VarianceCovarianceES | Man page Source code |
| VarianceCovarianceVaR | Man page Source code |
| crude.estimate.of.spectral.risk.measure | Source code |
| payper | Source code |
| pvfix | Source code |
| simpsons.quadrature.estimate | Source code |
| tES | Man page Source code |
| tESDFPerc | Man page Source code |
| tESFigure | Man page Source code |
| tESPlot2DCL | Man page Source code |
| tESPlot2DHP | Man page Source code |
| tESPlot3D | Man page Source code |
| tQuantileStandardError | Man page Source code |
| tVaR | Man page Source code |
| tVaRDFPerc | Man page Source code |
| tVaRESPlot2DCL | Man page Source code |
| tVaRFigure | Man page Source code |
| tVaRPlot2DCL | Man page Source code |
| tVaRPlot2DHP | Man page Source code |
| tVaRPlot3D | Man page Source code |
| trapezoidal.quadrature.estimate | Source code |
