Plot of Emperical and Generalised Pareto mean excess functions

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Description

Plots of emperical mean excess function and Generalized mean excess function.

Usage

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GParetoMEFPlot(Ra, mu, beta, zeta)

Arguments

Ra

Vector of daily Profit/Loss data

mu

Location parameter

beta

Scale parameter

zeta

Assumed tail index

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

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# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 0
   beta <- 1.2
   zeta <- 1.6
   GParetoMEFPlot(Ra, mu, beta, zeta)

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