Man pages for FK83/forecastES3
Replication Materials for "Robust Forecast Evaluation of Expected Shortfall" (Ziegel et al, 2018)
| ar_sim | Simulate many AR(1) processes with zero mean |
| murphy | Murphy Diagrams for VaR and Expected Shortfall |
| ptest_VaRES | Westfall-young procedure for VaR-ES forecasts |
| sim_VaRES | Simulate data from the design of Section 4 in the paper. |
| stationary_boot | T-tests using stationary bootstrap |
