ceshat-package: ceshat: Nonparametric Estimation of Conditional Expected...
In ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall
Description
Details
References
See Also
Description
Nonparametric ways to estimate conditional value at risk (expected shortfall),
and conditional expected shortfall.
Details
ceshat provides estimation functions for CVaR and CES.
References
Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.
See Also
Useful links:
ygeunkim/ceshat documentation built on Dec. 16, 2019, 12:39 p.m.
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Description Details References See Also
Description
Nonparametric ways to estimate conditional value at risk (expected shortfall), and conditional expected shortfall.
Details
ceshat provides estimation functions for CVaR and CES.
References
Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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