In ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall

knitr::opts_chunk$set(
  comment = "#>",
  collapse = TRUE,
  out.width = "70%",
  fig.align = "center",
  fig.width = 6,
  fig.asp = .618
  )
options(digits = 3)
pander::panderOptions("round", 3)

ceshat

Overview

This is an R package to help the SKKU nonparametric statistics project. It is basically based on the paper

Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.

Installation

# install.packages("devtools")
devtools::install_github("ygeunkim/ceshat")

ygeunkim/ceshat documentation built on Dec. 16, 2019, 12:39 p.m.