Files in Dowd
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

TODO
tests
tests/testthat.R
tests/testthat
tests/testthat/testCdfOfSumUsingGumbelCopula.R tests/testthat/testJarqueBeraBacktest.R tests/testthat/testADTestStat.R tests/testthat/testAdjustedNormalVaRHotspots.R tests/testthat/testAdjustedVarianceCovarianceVaR.R tests/testthat/testFrechetES.R tests/testthat/testAdjustedVarianceCovarianceES.R tests/testthat/testLopezBacktest.R tests/testthat/testBlancoIhleBacktest.R tests/testthat/testCdfOfSumUsingGaussianCopula.R tests/testthat/testCdfOfSumUsingProductCopula.R tests/testthat/testBinomialBacktest.R
NAMESPACE
R
R/GumbelES.R R/ChristoffersenBacktestForUnconditionalCoverage.R R/NormalVaRFigure.R R/BoxCoxES.R R/LogNormalESPlot3D.R R/BlancoIhleBacktest.R R/LogNormalES.R R/InsuranceVaR.R R/BootstrapESConfInterval.R R/HSES.R R/GumbelVaR.R R/LogNormalESPlot2DHP.R R/AdjustedNormalESHotspots.R R/CdfOfSumUsingGaussianCopula.R R/InsuranceVaRES.R R/FrechetVaRPlot2DCl.R R/NormalVaRPlot3D.R R/LongBlackScholesPutVaR.R R/NormalVaRPlot2DHP.R R/HSESPlot2DCl.R R/LogNormalVaRFigure.R R/LogtESDFPerc.R R/NormalVaR.R R/HillEstimator.R R/tVaRPlot2DHP.R R/DefaultRiskyBondVaR.R R/FilterStrategyLogNormalVaR.R R/tESPlot3D.R R/NormalESConfidenceInterval.R R/AmericanPutPriceBinomial.R R/LogtESPlot3D.R R/LogNormalVaRPlot2DHP.R R/StopLossLogNormalVaR.R R/NormalVaRPlot2DCL.R R/TQQPlot.R R/BootstrapVaRConfInterval.R R/KernelVaRNormalKernel.R R/tVaRDFPerc.R R/LogNormalESDFPerc.R R/HillPlot.R R/GaussianCopulaVaR.R R/tQuantileStandardError.R R/CornishFisherVaR.R R/FrechetESPlot2DCl.R R/HSESDFPerc.R R/CornishFisherES.R R/PCAVaRPlot.R R/GParetoES.R R/BlackScholesCallESSim.R R/ShortBlackScholesCallVaR.R R/tESFigure.R R/LopezBacktest.R R/AmericanPutVaRBinomial.R R/NormalSpectralRiskMeasure.R R/NormalESDFPerc.R R/PCAVaR.R R/GParetoMultipleMEFPlot.R R/BootstrapVaRFigure.R R/ProductCopulaVaR.R R/GParetoMEFPlot.R R/NormalQuantileStandardError.R R/NormalQQPlot.R R/VarianceCovarianceVaR.R R/CdfOfSumUsingProductCopula.R R/tESPlot2DCL.R R/BoxCoxVaR.R R/LogtVaR.R R/BlackScholesPutESSim.R R/tVaR.R R/KernelVaRBoxKernel.R R/PickandsPlot.R R/NormalESPlot2DCL.R R/tESPlot2DHP.R R/NormalVaRHotspots.R R/FrechetVaR.R R/PCAESPlot.R R/tESDFPerc.R R/AdjustedNormalVaRHotspots.R R/tVaRFigure.R R/HSVaR.R R/VarianceCovarianceES.R R/KernelESBoxKernel.R R/tES.R R/LogtVaRPlot2DCL.R R/LogtVaRDFPerc.R R/GParetoVaR.R R/NormalESPlot2DHP.R R/DCPensionVaR.R R/LogNormalVaR.R R/NormalESHotspots.R R/PCAES.R R/KernelVaREpanechinikovKernel.R R/LogNormalVaRETLPlot2DCL.R R/HillQuantileEstimator.R R/LogNormalESPlot2DCL.R R/GumbelVaRPlot2DCl.R R/ADTestStat.R R/BlackScholesCallPrice.R R/NormalVaRConfidenceInterval.R R/HSVaRPlot2DCl.R R/KuiperTestStat.R R/LogtVaRPlot2DHP.R R/LogNormalESFigure.R R/HSESFigure.R R/LogtESPlot2DHP.R R/LogtVaRPlot3D.R R/KSTestStat.R R/HSVaRDFPerc.R R/LogNormalVaRDFPerc.R R/BootstrapVaR.R R/NormalESPlot3D.R R/GumbelCopulaVaR.R R/BlackScholesPutPrice.R R/KernelESNormalKernel.R R/PCAPrelim.R R/PickandsEstimator.R R/ShortBlackScholesPutVaR.R R/LongBlackScholesCallVaR.R R/BootstrapESFigure.R R/NormalVaRDFPerc.R R/BootstrapES.R R/AdjustedVarianceCovarianceVaR.R R/GumbelESPlot2DCl.R R/tVaRESPlot2DCL.R R/tVaRPlot3D.R R/AmericanPutESSim.R R/BinomialBacktest.R R/LogNormalVaRPlot2DCL.R R/LogNormalVaRPlot3D.R R/DBPensionVaR.R R/AdjustedVarianceCovarianceES.R R/FrechetES.R R/NormalESFigure.R R/MEFPlot.R R/LogtESPlot2DCL.R R/JarqueBeraBacktest.R R/ChristoffersenBacktestForIndependence.R R/CdfOfSumUsingGumbelCopula.R R/NormalES.R R/KernelVaRTriangleKernel.R R/KernelESTriangleKernel.R R/AmericanPutESBinomial.R R/LogtES.R R/tVaRPlot2DCL.R R/HSVaRFigure.R R/KernelESEpanechinikovKernel.R R/HSVaRESPlot2DCl.R
MD5
DESCRIPTION
THANKS
man
man/LogNormalESFigure.Rd man/DefaultRiskyBondVaR.Rd man/NormalVaRPlot2DCL.Rd man/JarqueBeraBacktest.Rd man/HillEstimator.Rd man/HillPlot.Rd man/ChristoffersenBacktestForIndependence.Rd man/NormalESConfidenceInterval.Rd man/FilterStrategyLogNormalVaR.Rd man/BootstrapESConfInterval.Rd man/InsuranceVaRES.Rd man/HSVaRESPlot2DCl.Rd man/NormalVaRPlot2DHP.Rd man/KuiperTestStat.Rd man/BootstrapESFigure.Rd man/LogtVaRPlot2DCL.Rd man/CornishFisherVaR.Rd man/LogNormalESDFPerc.Rd man/LopezBacktest.Rd man/LogNormalVaRETLPlot2DCL.Rd man/LogtVaRPlot2DHP.Rd man/VarianceCovarianceES.Rd man/AmericanPutESBinomial.Rd man/FrechetVaR.Rd man/HSVaRFigure.Rd man/FrechetVaRPlot2DCl.Rd man/CornishFisherES.Rd man/NormalESPlot3D.Rd man/ChristoffersenBacktestForUnconditionalCoverage.Rd man/VarianceCovarianceVaR.Rd man/BootstrapVaRConfInterval.Rd man/BlackScholesCallPrice.Rd man/GParetoVaR.Rd man/LogtVaRDFPerc.Rd man/LogtESPlot2DHP.Rd man/KernelVaREpanechinikovKernel.Rd man/TQQPlot.Rd man/HSVaRDFPerc.Rd man/PCAPrelim.Rd man/BlackScholesPutPrice.Rd man/tQuantileStandardError.Rd man/ShortBlackScholesCallVaR.Rd man/LogtVaRPlot3D.Rd man/AdjustedNormalVaRHotspots.Rd man/DCPensionVaR.Rd man/LogNormalVaRDFPerc.Rd man/GumbelVaRPlot2DCl.Rd man/CdfOfSumUsingGumbelCopula.Rd man/tVaRPlot2DHP.Rd man/tESDFPerc.Rd man/AdjustedVarianceCovarianceVaR.Rd man/KernelESBoxKernel.Rd man/LogNormalVaRPlot2DHP.Rd man/FrechetESPlot2DCl.Rd man/HSESDFPerc.Rd man/tVaRFigure.Rd man/LogtVaR.Rd man/LogNormalVaRPlot3D.Rd man/NormalESHotspots.Rd man/LongBlackScholesCallVaR.Rd man/NormalVaRConfidenceInterval.Rd man/PCAESPlot.Rd man/BootstrapES.Rd man/BootstrapVaR.Rd man/LogtESDFPerc.Rd man/NormalESDFPerc.Rd man/AdjustedVarianceCovarianceES.Rd man/HSVaRPlot2DCl.Rd man/tVaRESPlot2DCL.Rd man/KernelESEpanechinikovKernel.Rd man/LogNormalESPlot2DHP.Rd man/NormalESPlot2DCL.Rd man/NormalVaRDFPerc.Rd man/ProductCopulaVaR.Rd man/NormalVaRHotspots.Rd man/PCAES.Rd man/NormalQuantileStandardError.Rd man/tVaRDFPerc.Rd man/HillQuantileEstimator.Rd man/BlancoIhleBacktest.Rd man/ShortBlackScholesPutVaR.Rd man/HSESFigure.Rd man/KSTestStat.Rd man/GParetoMultipleMEFPlot.Rd man/GumbelCopulaVaR.Rd man/MEFPlot.Rd man/NormalESPlot2DHP.Rd man/LogNormalES.Rd man/AdjustedNormalESHotspots.Rd man/NormalES.Rd man/tESPlot2DCL.Rd man/BlackScholesPutESSim.Rd man/tVaR.Rd man/ADTestStat.Rd man/LogtESPlot3D.Rd man/AmericanPutVaRBinomial.Rd man/CdfOfSumUsingGaussianCopula.Rd man/NormalQQPlot.Rd man/BlackScholesCallESSim.Rd man/GumbelESPlot2DCl.Rd man/LogtES.Rd man/CdfOfSumUsingProductCopula.Rd man/tVaRPlot2DCL.Rd man/GumbelES.Rd man/tVaRPlot3D.Rd man/BinomialBacktest.Rd man/AmericanPutESSim.Rd man/GaussianCopulaVaR.Rd man/LogNormalVaRPlot2DCL.Rd man/LogNormalVaRFigure.Rd man/KernelVaRNormalKernel.Rd man/tESPlot2DHP.Rd man/KernelESTriangleKernel.Rd man/Dowd-package.Rd man/HSES.Rd man/DBPensionVaR.Rd man/GParetoES.Rd man/NormalVaR.Rd man/AmericanPutPriceBinomial.Rd man/KernelVaRTriangleKernel.Rd man/StopLossLogNormalVaR.Rd man/BootstrapVaRFigure.Rd man/LogNormalESPlot3D.Rd man/NormalVaRFigure.Rd man/tESFigure.Rd man/BoxCoxES.Rd man/FrechetES.Rd man/NormalVaRPlot3D.Rd man/GumbelVaR.Rd man/LongBlackScholesPutVaR.Rd man/LogNormalVaR.Rd man/InsuranceVaR.Rd man/tESPlot3D.Rd man/PCAVaR.Rd man/PickandsPlot.Rd man/GParetoMEFPlot.Rd man/KernelESNormalKernel.Rd man/PCAVaRPlot.Rd man/KernelVaRBoxKernel.Rd man/LogtESPlot2DCL.Rd man/HSESPlot2DCl.Rd man/BoxCoxVaR.Rd man/LogNormalESPlot2DCL.Rd man/NormalSpectralRiskMeasure.Rd man/HSVaR.Rd man/PickandsEstimator.Rd man/NormalESFigure.Rd man/tES.Rd
Dowd documentation built on May 30, 2017, 1:30 a.m.