evt_VaR: Risk measure using extreme value theorem

Description Usage Arguments Author(s) Examples

View source: R/evt_VaR.R

Description

This function allows you to calculate VaR using the block maximum

Usage

1
evt_VaR(xi, sigma, mu, n = 21, prob = 0.01)

Arguments

xi

shape parameter

sigma

scale parameter

mu

location parameter

n

block size

prob

tail probability

Author(s)

Ruey S. Tsay

Examples

1
evt_VaR(0.2517,0.0103,0.0297)

Alfred-Zhang/ResearchTools documentation built on Nov. 23, 2017, 1:54 a.m.