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Estimation of different quantile models, at the moment only Conditional autoregressive value at risk (CAViaR) proposed by Engle & Manganelli (2004) <doi:10.1198/073500104000000370> with also the specification proposed in Huang et al. (2009) <doi:10.1016/j.eneco.2008.12.006> and it's multivariate extension, Multi-variate multi-quantile CAViaR (MVMQ-CAViaR) proposed by White et al. (2015) <doi:10.1016/j.jeconom.2015.02.004> are available, however, in further updates, other models and extensions will be included.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5) |
| Imports: | Rcpp, nloptr, quantreg, numDeriv, xts, zoo, ufRisk, GenSA |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown |
| Published: | 2026-06-25 |
| DOI: | 10.32614/CRAN.package.QuantileModels |
| Author: | Christian Jorge Carreiro [aut, cre, cph] |
| Maintainer: | Christian Jorge Carreiro <christianjorge59 at gmail.com> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| Language: | en-US |
| Materials: | README, NEWS |
| CRAN checks: | QuantileModels results |
| Reference manual: | QuantileModels.html , QuantileModels.pdf |
| Vignettes: |
Introduction to QuantileModels package (source, R code) |
| Package source: | QuantileModels_1.0.0.tar.gz |
| Windows binaries: | r-devel: QuantileModels_1.0.0.zip, r-release: QuantileModels_1.0.0.zip, r-oldrel: QuantileModels_1.0.0.zip |
| macOS binaries: | r-release (arm64): QuantileModels_1.0.0.tgz, r-oldrel (arm64): QuantileModels_1.0.0.tgz, r-release (x86_64): QuantileModels_1.0.0.tgz, r-oldrel (x86_64): QuantileModels_1.0.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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