Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various types of historical simulation. Currently plain historical simulation as well as age- and volatility-weighted historical simulation are implemented in this package. Volatility weighting is carried out via an exponentially weighted moving average (EWMA). The methods of the package are described in Gurrola-Perez, P. and Murphy, D. (2015) <https://EconPapers.repec.org/RePEc:boe:boeewp:0525>.
| Version: | 1.0.5 |
| Depends: | R (≥ 2.10) |
| Imports: | graphics, stats |
| Published: | 2021-03-01 |
| Author: | Sebastian Letmathe [aut, cre] (Paderborn University, Germany) |
| Maintainer: | Sebastian Letmathe <sebastian.letmathe at uni-paderborn.de> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | quarks results |
| Reference manual: | quarks.pdf |
| Package source: | quarks_1.0.5.tar.gz |
| Windows binaries: | r-devel: quarks_1.0.5.zip, r-release: quarks_1.0.5.zip, r-oldrel: quarks_1.0.5.zip |
| macOS binaries: | r-release: quarks_1.0.5.tgz, r-oldrel: quarks_1.0.5.tgz |
| Old sources: | quarks archive |
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