steinarv/quantileVaR: Quantile regression for estimating value at risk and backtesting.
Estimating CAViaR models (Engle & Manganelli, 2004) and similar models. Create VaR forecasts. Backtest VaR forecasts (independent of model used for creating the forecasts).
Getting started
Browse package contents
Package details |
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| Author | Steinar Veka |
| Maintainer | Steinar Veka <steinar.veka@gmail.com> |
| License | GPL-2 | GPL-3 |
| Version | 1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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