Description Usage Arguments Author(s) References Examples
Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.
1 | GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)
|
Ra |
Vector of daily Profit/Loss data |
mu |
Location parameter |
beta |
Scale parameter |
zeta1 |
Assumed tail index for first mean excess function |
zeta2 |
Assumed tail index for second mean excess function |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 7 | # Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
mu <- 1
beta <- 1.2
zeta1 <- 1.6
zeta2 <- 2.2
GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)
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