Function estimates the ES of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.
Daily Profit/Loss data
Confidence Level. It can be a scalar or a vector.
Estimated Box-Cox ES. Its dimension is same as that of cl
Dowd, K. Measuring Market Risk, Wiley, 2007.
Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.
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