esr_loss: Joint Loss Function

In esreg: Joint Quantile and Expected Shortfall Regression

Joint Loss Function

Description

Computes the joint (VaR, ES) loss

Usage

esr_loss(r, q, e, alpha, g1 = 2L, g2 = 1L, return_mean = TRUE)

Arguments

r	Vector of returns
q	Vector of quantiles
e	Vector of expected shortfalls
alpha	Probability level
g1	1, 2, see G1_fun
g2	1, 2, 3, 4, 5, see G2_curly_fun, G2_fun
return_mean	If TRUE returns the average tick loss, else the individual values

References

Fissler and Ziegel (2016)

esreg documentation built on May 31, 2023, 9:25 p.m.