murphy: Murphy Diagrams for VaR and Expected Shortfall

In FK83/forecastES3: Replication Materials for "Robust Forecast Evaluation of Expected Shortfall" (Ziegel et al, 2018)

Description

Murphy Diagrams for VaR and Expected Shortfall

Usage

murphy_VaRES(TSfc, alpha = 0.025, plot_nr = 2, labels = NULL,
  grid = NULL, legend_loc = NULL, murphy_cols = NULL, cex_gen = 1.6,
  ...)

murphy_VaRES_diff(TSfc, alpha = 0.025, plot_nr = 2, grid = NULL,
  labels = NULL, legend_loc = NULL, HAC_lags = 9, conf_level = 0.95,
  cex_gen = 1.6, ...)

Arguments

TSfc	Matrix containing forecasts and realizations. First two columns contain VaR/ES forecasts from method A; cols 3-4 contain VaR/ES forecasts from method B; col 5 contains realizations.
alpha	scalar, level of VaR/ES
plot_nr	Either 1 (first elementary score) or 2 (second elementary score)
labels	Vector of labels (set to NULL to omit labels)
grid	Either NULL (to use grid at all data points) or numeric vector of customized grid points.
legend_loc	Location of legend
murphy_cols	Colors to be used for first plot
cex_gen	Font size
...	other plotting parameters
HAC_lags	Truncation lag for Newey-West variance estimator (needed for confidence bands)
conf_level	Level of confidence bands

FK83/forecastES3 documentation built on May 23, 2019, 7:17 a.m.