bootES: Bootstrap Expected Shortfall

Description Usage Arguments Author(s) See Also Examples

Description

Bootstrap the Expected Shortfall (ES) of an xts object or matrix of asset returns

Usage

1
bootES(R, ..., replications = 1000)

Arguments

R

xts object or matrix of asset returns

replications

number of bootstrap replications.

...

passthrough parameters to ES

Author(s)

Ross Bennett

See Also

ES

Examples

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data(crsp_weekly)
R <- largecap_weekly[,1:4]
bootVaR(R[,1], p=0.9, method="historical")
bootVaR(R[,1], p=0.9, method="gaussian")
bootVaR(R, p=0.9, method="historical", invert=FALSE)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.

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