Functions and data sets for reproducing selected results from the book "Quantitative Risk Management: Concepts, Techniques and Tools". Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.
Version: | 0.0-17 |
Depends: | R (≥ 3.2.0) |
Imports: | graphics, lattice, quantmod, Quandl, zoo, xts, methods, grDevices, stats, rugarch, utils, ADGofTest |
Suggests: | combinat, copula, qrng, sfsmisc, RColorBrewer, sn, knitr, rmarkdown |
Published: | 2024-03-04 |
DOI: | 10.32614/CRAN.package.qrmtools |
Author: | Marius Hofert [aut, cre], Kurt Hornik [aut], Alexander J. McNeil [aut] |
Maintainer: | Marius Hofert <mhofert at hku.hk> |
License: | GPL (≥ 3) | file LICENCE |
NeedsCompilation: | yes |
Materials: | NEWS |
In views: | Distributions, Finance |
CRAN checks: | qrmtools results |
Reference manual: | qrmtools.pdf |
Vignettes: |
Fitting and Predicting VaR based on an ARMA-GARCH Process Geometric Risk Measures Worst Value-at-Risk under Known Margins |
Package source: | qrmtools_0.0-17.tar.gz |
Windows binaries: | r-devel: qrmtools_0.0-17.zip, r-release: qrmtools_0.0-17.zip, r-oldrel: qrmtools_0.0-17.zip |
macOS binaries: | r-release (arm64): qrmtools_0.0-17.tgz, r-oldrel (arm64): qrmtools_0.0-17.tgz, r-release (x86_64): qrmtools_0.0-17.tgz, r-oldrel (x86_64): qrmtools_0.0-17.tgz |
Old sources: | qrmtools archive |
Reverse suggests: | qrmdata, zenplots |
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