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Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various types of historical simulation. Currently plain-, age-, volatility-weighted- and filtered historical simulation are implemented in this package. Volatility weighting can be carried out via an exponentially weighted moving average model (EWMA) or other GARCH-type models. The performance can be assessed via Traffic Light Test, Coverage Tests and Loss Functions. The methods of the package are described in Gurrola-Perez, P. and Murphy, D. (2015) <https://EconPapers.repec.org/RePEc:boe:boeewp:0525> as well as McNeil, J., Frey, R., and Embrechts, P. (2015) <https://ideas.repec.org/b/pup/pbooks/10496.html>.
| Version: | 1.1.4 |
| Depends: | R (≥ 2.10) |
| Imports: | dygraphs, ggplot2, graphics, progress, rugarch, shiny, shinyjs, smoots, stats, yfR, xts |
| Published: | 2024-06-08 |
| DOI: | 10.32614/CRAN.package.quarks |
| Author: | Sebastian Letmathe [aut, cre] |
| Maintainer: | Sebastian Letmathe <sebastian.let at t-online.de> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | quarks results |
| Reference manual: | quarks.pdf |
| Package source: | quarks_1.1.4.tar.gz |
| Windows binaries: | r-devel: quarks_1.1.4.zip, r-release: quarks_1.1.4.zip, r-oldrel: quarks_1.1.4.zip |
| macOS binaries: | r-release (arm64): quarks_1.1.4.tgz, r-oldrel (arm64): quarks_1.1.4.tgz, r-release (x86_64): quarks_1.1.4.tgz, r-oldrel (x86_64): quarks_1.1.4.tgz |
| Old sources: | quarks archive |
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