Value at Risk estimation ![[R logo]](https://lh3.googleusercontent.com/blogger_img_proxy/AEn0k_vLCsd4eyW2kqfx10j40bHuWwDLHws047EIs7Kb1TC2tob-j545Wmz7aTCQjyfjSZl-a-fd6rIi_jsG5BOiBD8zLG76trTUVSc6MvDYcRsTWcw4WDHmn4410lw1Z5dtrpaH=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