esback: esback: A package for backtesting expected shortfall...
In BayerSe/esback: Expected Shortfall Backtesting
esback R Documentation
esback: A package for backtesting expected shortfall forecasts
Description
The esback package contains functions for backtesting expected shortfall forecasts.
Available backtest functions
-
Exceedance Residuals Backtest (McNeil & Frey, 2000)
-
Conditional Calibration Backtest (Nolde & Ziegel, 2017)
-
Expeced Shortfall Regression Backtests (Bayer & Dimitriadis, 2018)
Author(s)
Maintainer: Sebastian Bayer sebastian.bayer@uni-konstanz.de
Authors:
Timo Dimitriadis timo.dimitriadis@awi.uni-heidelberg.de
BayerSe/esback documentation built on Sept. 10, 2023, 2:09 a.m.
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| esback | R Documentation |
esback: A package for backtesting expected shortfall forecasts
Description
The esback package contains functions for backtesting expected shortfall forecasts.
Available backtest functions
-
Exceedance Residuals Backtest (McNeil & Frey, 2000)
-
Conditional Calibration Backtest (Nolde & Ziegel, 2017)
-
Expeced Shortfall Regression Backtests (Bayer & Dimitriadis, 2018)
Author(s)
Maintainer: Sebastian Bayer sebastian.bayer@uni-konstanz.de
Authors:
Timo Dimitriadis timo.dimitriadis@awi.uni-heidelberg.de
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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