NEWS.md

In Letmode/quarks: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

quarks 1.1.3

• added an application to download data from Yahoo Finance
• fixed a bug in 'cvgtest.R'

quarks 1.1.2

• added argument 'conflvl' to 'cvgtest.R' in order to set the significance level for hypothesis testing

quarks 1.1.1

• slightly adjusted print method for 'cvgtest.R'

quarks 1.1.0

• implemented 4 new functions which enable the user to apply various backtesting methods

quarks 1.0.11

• slightly adjusted plot method (added a grid)
• updated data sets
• changed name of 'DAX30' to 'DAX' due to the recent extension of the German Stock Market Index

quarks 1.0.10

• added a print method for 'quarks'

quarks 1.0.9

• fixed a bug in 'hs.R'

quarks 1.0.8

• fixed a bug which caused an error in 'vwhs.R' and 'fhs.R'

quarks 1.0.7

• changed output value of 'hs.R', 'vwhs.R' and 'fhs.R'
• modified 'plot.quarks.R'; main title and axis labels can now be adjusted manually
• added five financial time series data sets

quarks 1.0.6

• changed default of coverage level (p) from 0.95 to 0.975
• implemented 'fhs.R', enabling filtered historical simulation
• implemented volatility estimation with GARCH-type models by means of the 'rugarch' package

quarks 1.0.5

• slightly changed example for 'rollcast.R'
• fixed a bug which caused a warning if argument 'method' in 'rollcast.R' was set on default

quarks 1.0.4

• slightly adapted 'hs.R', 'vwhs.R' and 'rollcast.R'
• modified ES-calculation for age-weighted historical simulation

quarks 1.0.3

• slightly adjusted README
• modified 'plot.quarks.R'

quarks 1.0.2

• fixed a minor bug in 'hs.R'
• minor adjustments in the README were made

quarks 1.0.1

• adjusted example in the README file
• minor adjustments in the documentation were made

Letmode/quarks documentation built on Sept. 6, 2022, 9:03 p.m.