Files in Dowd
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
THANKS
TODO
DESCRIPTION
NAMESPACE
R/BootstrapES.R
R/BlackScholesPutESSim.R
R/NormalVaRPlot3D.R
R/tVaRDFPerc.R
R/BinomialBacktest.R
R/NormalVaRHotspots.R
R/KuiperTestStat.R
R/GumbelVaRPlot2DCl.R
R/LogtESPlot3D.R
R/LogNormalESDFPerc.R
R/tVaRPlot3D.R
R/PCAVaR.R
R/NormalESPlot2DHP.R
R/LogNormalVaRFigure.R
R/KernelVaRTriangleKernel.R
R/GumbelESPlot2DCl.R
R/PCAESPlot.R
R/HSVaRFigure.R
R/BlackScholesPutPrice.R
R/GumbelVaR.R
R/FrechetESPlot2DCl.R
R/LogtESDFPerc.R
R/PCAPrelim.R
R/NormalVaR.R
R/LogNormalESPlot2DCL.R
R/GumbelES.R
R/tESPlot2DHP.R
R/HSVaRESPlot2DCl.R
R/LogNormalESFigure.R
R/TQQPlot.R
R/LogtES.R
R/HSESFigure.R
R/LogtESPlot2DCL.R
R/HSVaRDFPerc.R
R/tESFigure.R
R/CdfOfSumUsingProductCopula.R
R/ShortBlackScholesCallVaR.R
R/KernelESBoxKernel.R
R/KernelESEpanechinikovKernel.R
R/BoxCoxES.R
R/HSESPlot2DCl.R
R/NormalSpectralRiskMeasure.R
R/tVaRESPlot2DCL.R
R/CornishFisherES.R
R/tVaRPlot2DHP.R
R/AdjustedVarianceCovarianceES.R
R/ChristoffersenBacktestForUnconditionalCoverage.R
R/AmericanPutESBinomial.R
R/BootstrapVaRConfInterval.R
R/PickandsEstimator.R
R/MEFPlot.R
R/NormalES.R
R/CdfOfSumUsingGaussianCopula.R
R/PCAVaRPlot.R
R/GParetoMultipleMEFPlot.R
R/ShortBlackScholesPutVaR.R
R/KernelVaREpanechinikovKernel.R
R/NormalVaRConfidenceInterval.R
R/NormalESConfidenceInterval.R
R/AmericanPutESSim.R
R/tESPlot3D.R
R/NormalESDFPerc.R
R/InsuranceVaR.R
R/LogtVaRDFPerc.R
R/LogNormalESPlot3D.R
R/DBPensionVaR.R
R/NormalVaRDFPerc.R
R/tQuantileStandardError.R
R/NormalESHotspots.R
R/FrechetVaRPlot2DCl.R
R/KSTestStat.R
R/JarqueBeraBacktest.R
R/ADTestStat.R
R/CdfOfSumUsingGumbelCopula.R
R/tES.R
R/PickandsPlot.R
R/GParetoVaR.R
R/AmericanPutPriceBinomial.R
R/InsuranceVaRES.R
R/LogtVaRPlot2DCL.R
R/HillEstimator.R
R/NormalQuantileStandardError.R
R/VarianceCovarianceES.R
R/HSES.R
R/NormalESPlot2DCL.R
R/NormalESPlot3D.R
R/ChristoffersenBacktestForIndependence.R
R/HillQuantileEstimator.R
R/LogNormalVaRPlot2DHP.R
R/KernelESNormalKernel.R
R/HSESDFPerc.R
R/KernelESTriangleKernel.R
R/LogNormalVaRPlot2DCL.R
R/GParetoES.R
R/BlackScholesCallPrice.R
R/DefaultRiskyBondVaR.R
R/AdjustedVarianceCovarianceVaR.R
R/HillPlot.R
R/tESPlot2DCL.R
R/GaussianCopulaVaR.R
R/HSVaR.R
R/StopLossLogNormalVaR.R
R/LogNormalES.R
R/LongBlackScholesPutVaR.R
R/BlackScholesCallESSim.R
R/NormalVaRPlot2DCL.R
R/DCPensionVaR.R
R/LogtVaRPlot3D.R
R/NormalESFigure.R
R/FilterStrategyLogNormalVaR.R
R/LopezBacktest.R
R/LogNormalVaR.R
R/LogNormalESPlot2DHP.R
R/AdjustedNormalVaRHotspots.R
R/CornishFisherVaR.R
R/PCAES.R
R/VarianceCovarianceVaR.R
R/NormalVaRPlot2DHP.R
R/BootstrapVaRFigure.R
R/AmericanPutVaRBinomial.R
R/tVaRPlot2DCL.R
R/LongBlackScholesCallVaR.R
R/FrechetES.R
R/LogtESPlot2DHP.R
R/KernelVaRNormalKernel.R
R/LogtVaR.R
R/tVaRFigure.R
R/AdjustedNormalESHotspots.R
R/LogNormalVaRDFPerc.R
R/LogNormalVaRPlot3D.R
R/tVaR.R
R/BootstrapESConfInterval.R
R/NormalQQPlot.R
R/NormalVaRFigure.R
R/tESDFPerc.R
R/BoxCoxVaR.R
R/GParetoMEFPlot.R
R/BlancoIhleBacktest.R
R/LogNormalVaRETLPlot2DCL.R
R/ProductCopulaVaR.R
R/HSVaRPlot2DCl.R
R/GumbelCopulaVaR.R
R/BootstrapVaR.R
R/BootstrapESFigure.R
R/KernelVaRBoxKernel.R
R/LogtVaRPlot2DHP.R
R/FrechetVaR.R
man/tESPlot2DHP.Rd
man/LogtVaRPlot3D.Rd
man/FilterStrategyLogNormalVaR.Rd
man/NormalESDFPerc.Rd
man/PCAVaRPlot.Rd
man/AmericanPutPriceBinomial.Rd
man/NormalQuantileStandardError.Rd
man/AmericanPutESSim.Rd
man/NormalVaRConfidenceInterval.Rd
man/tESFigure.Rd
man/FrechetES.Rd
man/MEFPlot.Rd
man/tES.Rd
man/BlackScholesCallPrice.Rd
man/tESPlot2DCL.Rd
man/KernelVaRNormalKernel.Rd
man/tQuantileStandardError.Rd
man/DBPensionVaR.Rd
man/tVaR.Rd
man/HSESPlot2DCl.Rd
man/NormalVaRPlot3D.Rd
man/CdfOfSumUsingProductCopula.Rd
man/BootstrapES.Rd
man/HSVaRPlot2DCl.Rd
man/AdjustedVarianceCovarianceVaR.Rd
man/HillPlot.Rd
man/AdjustedNormalESHotspots.Rd
man/HSVaRDFPerc.Rd
man/HSESFigure.Rd
man/GumbelVaRPlot2DCl.Rd
man/HSVaR.Rd
man/NormalQQPlot.Rd
man/BinomialBacktest.Rd
man/LogNormalES.Rd
man/LogNormalVaRETLPlot2DCL.Rd
man/LogtESPlot3D.Rd
man/GumbelES.Rd
man/LogNormalESPlot3D.Rd
man/LogtES.Rd
man/AmericanPutESBinomial.Rd
man/PCAVaR.Rd
man/LogtVaRDFPerc.Rd
man/PCAES.Rd
man/AdjustedNormalVaRHotspots.Rd
man/JarqueBeraBacktest.Rd
man/InsuranceVaRES.Rd
man/LogtVaRPlot2DCL.Rd
man/PickandsPlot.Rd
man/DCPensionVaR.Rd
man/NormalVaR.Rd
man/GumbelESPlot2DCl.Rd
man/tESDFPerc.Rd
man/NormalES.Rd
man/FrechetVaRPlot2DCl.Rd
man/GParetoES.Rd
man/KernelESEpanechinikovKernel.Rd
man/tVaRPlot2DCL.Rd
man/KSTestStat.Rd
man/PCAPrelim.Rd
man/LogtESDFPerc.Rd
man/HillEstimator.Rd
man/VarianceCovarianceES.Rd
man/LogNormalVaRFigure.Rd
man/ChristoffersenBacktestForUnconditionalCoverage.Rd
man/GParetoVaR.Rd
man/ProductCopulaVaR.Rd
man/tVaRESPlot2DCL.Rd
man/LopezBacktest.Rd
man/HSVaRESPlot2DCl.Rd
man/HSESDFPerc.Rd
man/NormalSpectralRiskMeasure.Rd
man/tVaRFigure.Rd
man/LogtVaRPlot2DHP.Rd
man/LogtVaR.Rd
man/KernelESBoxKernel.Rd
man/NormalESConfidenceInterval.Rd
man/HSVaRFigure.Rd
man/FrechetVaR.Rd
man/HillQuantileEstimator.Rd
man/LongBlackScholesCallVaR.Rd
man/AmericanPutVaRBinomial.Rd
man/tESPlot3D.Rd
man/HSES.Rd
man/NormalVaRFigure.Rd
man/GumbelCopulaVaR.Rd
man/BootstrapVaRFigure.Rd
man/LogNormalVaRPlot3D.Rd
man/NormalESPlot3D.Rd
man/GParetoMultipleMEFPlot.Rd
man/GaussianCopulaVaR.Rd
man/PCAESPlot.Rd
man/NormalESHotspots.Rd
man/BootstrapESFigure.Rd
man/LogNormalVaR.Rd
man/LogtESPlot2DHP.Rd
man/LogNormalVaRPlot2DCL.Rd
man/KernelESNormalKernel.Rd
man/ChristoffersenBacktestForIndependence.Rd
man/BlackScholesPutPrice.Rd
man/AdjustedVarianceCovarianceES.Rd
man/VarianceCovarianceVaR.Rd
man/LogNormalESDFPerc.Rd
man/NormalESFigure.Rd
man/KernelVaRBoxKernel.Rd
man/BlancoIhleBacktest.Rd
man/ADTestStat.Rd
man/LogNormalESPlot2DHP.Rd
man/BootstrapESConfInterval.Rd
man/NormalVaRPlot2DCL.Rd
man/BoxCoxVaR.Rd
man/CornishFisherVaR.Rd
man/tVaRDFPerc.Rd
man/LogNormalVaRPlot2DHP.Rd
man/NormalVaRPlot2DHP.Rd
man/KernelESTriangleKernel.Rd
man/StopLossLogNormalVaR.Rd
man/TQQPlot.Rd
man/ShortBlackScholesPutVaR.Rd
man/NormalESPlot2DCL.Rd
man/DefaultRiskyBondVaR.Rd
man/NormalVaRDFPerc.Rd
man/tVaRPlot2DHP.Rd
man/GumbelVaR.Rd
man/GParetoMEFPlot.Rd
man/LogNormalESFigure.Rd
man/CdfOfSumUsingGumbelCopula.Rd
man/LogNormalVaRDFPerc.Rd
man/InsuranceVaR.Rd
man/ShortBlackScholesCallVaR.Rd
man/BootstrapVaRConfInterval.Rd
man/tVaRPlot3D.Rd
man/BoxCoxES.Rd
man/KuiperTestStat.Rd
man/LogtESPlot2DCL.Rd
man/BlackScholesCallESSim.Rd
man/CornishFisherES.Rd
man/BootstrapVaR.Rd
man/FrechetESPlot2DCl.Rd
man/NormalVaRHotspots.Rd
man/KernelVaREpanechinikovKernel.Rd
man/LongBlackScholesPutVaR.Rd
man/Dowd-package.Rd
man/PickandsEstimator.Rd
man/BlackScholesPutESSim.Rd
man/LogNormalESPlot2DCL.Rd
man/CdfOfSumUsingGaussianCopula.Rd
man/KernelVaRTriangleKernel.Rd
man/NormalESPlot2DHP.Rd
tests/testthat.R
tests/testthat/testLopezBacktest.R
tests/testthat/testADTestStat.R
tests/testthat/testBinomialBacktest.R
tests/testthat/testAdjustedVarianceCovarianceVaR.R
tests/testthat/testAdjustedNormalVaRHotspots.R
tests/testthat/testCdfOfSumUsingGaussianCopula.R
tests/testthat/testJarqueBeraBacktest.R
tests/testthat/testFrechetES.R
tests/testthat/testCdfOfSumUsingGumbelCopula.R
tests/testthat/testAdjustedVarianceCovarianceES.R
tests/testthat/testCdfOfSumUsingProductCopula.R
tests/testthat/testBlancoIhleBacktest.R
