Value at Risk estimation ![[R logo]](https://lh3.googleusercontent.com/blogger_img_proxy/AEn0k_tcfttfXJdzjbvKiCOJMrxhqNeBRjk3ehU_h-rsNN3CaR5ZN19IbTw3WBa9yA52L1RgI5KxUhVvR4_0vnn_3FRk1g737kXb5_bSPv3pf3wHlB1usXirGlrUMifFWHKjOe_t=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 |
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