quantileVaR: Quantile regression for estimating Value at Risk and...

In steinarv/quantileVaR: Quantile regression for estimating value at risk and backtesting.

Description

Estimating CAViaR models (Engle & Manganelli, 2002) and similar models. Create VaR forecasts. Backtest VaR forecasts (independent of model used for creating the forecasts).

Details

Package:	quantileVaR
Type:	Package
Version:	1.0
Date:	2013-08-14
License:	GPL-2 | GPL-3

Author(s)

Steinar Veka

Maintainer: Who to complain to <[e-mail]>

References

Robert F. Engle and Simone Manganelli CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles Journal of Business & Economic Statistics Vol. 22, No. 4 (Oct., 2004), pp. 367-381 Published by: American Statistical Association Article Stable URL: http://www.jstor.org/stable/1392044

Peter F. Christoffersen Evaluating Interval Forecasts International Economic Review Vol. 39, No. 4, Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance (Nov., 1998), pp. 841-862 Published by: Wiley Article Stable URL: http://www.jstor.org/stable/2527341

steinarv/quantileVaR documentation built on May 30, 2019, 10:46 a.m.