er_backtest: Exceedance Residuals Backtest

Description Usage Arguments Value References Examples

View source: R/backtest_functions.R

Description

Tests whether the mean of the exceedance residuals, respectively the mean of the standardized exceedance residuals is zero.

Usage

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er_backtest(r, q, e, s = NULL, B = 1000)

Arguments

r

A vector of returns.

q

A vector of Value-at-Risk forecasts.

e

A vector of Expected Shortfall forecasts.

s

A vector of volatility forecasts.

B

Number of bootstrap iterations

Value

Returns a list with the following components:

References

McNeil & Frey (2000)

Examples

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data(risk_forecasts)
r <- risk_forecasts$r
q <- risk_forecasts$q
e <- risk_forecasts$e
s <- risk_forecasts$s
er_backtest(r = r, q = q, e = e, s = s)

esback documentation built on July 2, 2020, 2:18 a.m.