The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the MaR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | stats, quantreg, sn, dfoptim, plot3D |
| Published: | 2023-05-02 |
| DOI: | 10.32614/CRAN.package.matrisk |
| Author: | Quentin Lajaunie [aut, cre], Guillaume Flament [aut], Christophe Hurlin [aut] |
| Maintainer: | Quentin Lajaunie <quentin_lajaunie at hotmail.fr> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | matrisk results |
| Reference manual: | matrisk.pdf |
| Package source: | matrisk_0.1.0.tar.gz |
| Windows binaries: | r-devel: matrisk_0.1.0.zip, r-release: matrisk_0.1.0.zip, r-oldrel: matrisk_0.1.0.zip |
| macOS binaries: | r-release (arm64): matrisk_0.1.0.tgz, r-oldrel (arm64): matrisk_0.1.0.tgz, r-release (x86_64): matrisk_0.1.0.tgz, r-oldrel (x86_64): matrisk_0.1.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=matrisk to link to this page.
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.
Health stats visible at Monitor.