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 Source code
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 Source code
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
Univariate.tES 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
Dowd documentation built on May 30, 2017, 1:30 a.m.