Value at Risk estimation ![[R logo]](https://lh3.googleusercontent.com/blogger_img_proxy/AEn0k_toKj8aZ898FgPXLEx2uaMZs_M40AFpFp1tFSuxS1GMHcBzBPvXv0lrr9lF8Vd1ijyTDyody5Jd5TjT-KZrEoFN9jACc3fMDTXWIPU_i5mFuwLSLy0AfLnvc-Fiu5G-wld-=s0-d)
| DJIA | Daily Closing Prices of Stocks in The Dow Jones 30 Industrial Index |
| exchange.rates | EUR/USD, USD/JPY, USD/CHF and GPD/USD Exchange Rates |
| VaR.backtest | Backtest of VaR Estimation |
| VaR.gpd | Value at Risk Calculation from Log-Likelihood Fit of General Pareto Distribution (GPD) |
| VaR.gpd.plots | Diagnostic Plots for VaR Calculation from GPD Approximation |
| VaR.norm | Value at Risk Calculation in Lognormal Approximation |
| VaR.norm.plots | Diagnostic Plots for VaR Calculation in Lognormal Approximation |
No comments:
Post a Comment
Thank you