GParetoMultipleMEFPlot: Plot of Emperical and 2 Generalised Pareto mean excess...

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

Description

Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.

Usage

GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)

Arguments

Ra	Vector of daily Profit/Loss data
mu	Location parameter
beta	Scale parameter
zeta1	Assumed tail index for first mean excess function
zeta2	Assumed tail index for second mean excess function

Author(s)

Dinesh Acharya

References

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

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 1
   beta <- 1.2
   zeta1 <- 1.6
   zeta2 <- 2.2
   GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)

Dowd documentation built on May 2, 2019, 10:16 a.m.