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Dowd
View on CRAN: Click
here
Download and install Dowd package within the R console
Install from CRAN:
install.packages("Dowd")
Install from Github:
library("remotes")
install_github("cran/Dowd")
Install by package version:
library("remotes")
install_version("Dowd", "0.12")
Attach the package and use:
library("Dowd")
Maintained by
Dinesh Acharya
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-01
Latest Update: 2016-03-11
Description:
'Kevin Dowd's' book Measuring Market Risk is a widely read book
in the area of risk measurement by students and
practitioners alike. As he claims, 'MATLAB' indeed might have been the most
suitable language when he originally wrote the functions, but,
with growing popularity of R it is not entirely
valid. As 'Dowd's' code was not intended to be error free and were mainly
for reference, some functions in this package have inherited those
errors. An attempt will be made in future releases to identify and correct
them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/.
It should be noted that 'Dowd' offers both
'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more
recent version of 'MMR1' toolbox and they both have mostly similar
function. The toolbox mainly contains different parametric and non
parametric methods for measurement of market risk as well as
backtesting risk measurement methods.
How to cite:
Dinesh Acharya (2015). Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk. R package version 0.12, https://cran.r-project.org/web/packages/Dowd
Previous versions and publish date:
0.1 (2015-09-01 17:41)
Other packages that cited Dowd R package
View Dowd citation profile
Other R packages that Dowd depends,
imports, suggests or enhances
Functions, R codes and Examples using
the Dowd R package
Some associated functions: ADTestStat . AdjustedNormalESHotspots . AdjustedNormalVaRHotspots . AdjustedVarianceCovarianceES . AdjustedVarianceCovarianceVaR . AmericanPutESBinomial . AmericanPutESSim . AmericanPutPriceBinomial . AmericanPutVaRBinomial . BinomialBacktest . BlackScholesCallESSim . BlackScholesCallPrice . BlackScholesPutESSim . BlackScholesPutPrice . BlancoIhleBacktest . BootstrapES . BootstrapESConfInterval . BootstrapESFigure . BootstrapVaR . BootstrapVaRConfInterval . BootstrapVaRFigure . BoxCoxES . BoxCoxVaR . CdfOfSumUsingGaussianCopula . CdfOfSumUsingGumbelCopula . CdfOfSumUsingProductCopula . ChristoffersenBacktestForIndependence . ChristoffersenBacktestForUnconditionalCoverage . CornishFisherES . CornishFisherVaR . DBPensionVaR . DCPensionVaR . DefaultRiskyBondVaR . Dowd-package . FilterStrategyLogNormalVaR . FrechetES . FrechetESPlot2DCl . FrechetVaR . FrechetVaRPlot2DCl . GParetoES . GParetoMEFPlot . GParetoMultipleMEFPlot . GParetoVaR . GaussianCopulaVaR . GumbelCopulaVaR . GumbelES . GumbelESPlot2DCl . GumbelVaR . GumbelVaRPlot2DCl . HSES . HSESDFPerc . HSESFigure . HSESPlot2DCl . HSVaR . HSVaRDFPerc . HSVaRESPlot2DCl . HSVaRFigure . HSVaRPlot2DCl . HillEstimator . HillPlot . HillQuantileEstimator . InsuranceVaR . InsuranceVaRES . JarqueBeraBacktest . KSTestStat . KernelESBoxKernel . KernelESEpanechinikovKernel . KernelESNormalKernel . KernelESTriangleKernel . KernelVaRBoxKernel . KernelVaREpanechinikovKernel . KernelVaRNormalKernel . KernelVaRTriangleKernel . KuiperTestStat . LogNormalES . LogNormalESDFPerc . LogNormalESFigure . LogNormalESPlot2DCL . LogNormalESPlot2DHP . LogNormalESPlot3D . LogNormalVaR . LogNormalVaRDFPerc . LogNormalVaRETLPlot2DCL . LogNormalVaRFigure . LogNormalVaRPlot2DCL . LogNormalVaRPlot2DHP . LogNormalVaRPlot3D . LogtES . LogtESDFPerc . LogtESPlot2DCL . LogtESPlot2DHP . LogtESPlot3D . LogtVaR . LogtVaRDFPerc . LogtVaRPlot2DCL . LogtVaRPlot2DHP . LogtVaRPlot3D . LongBlackScholesCallVaR . LongBlackScholesPutVaR . LopezBacktest . MEFPlot . NormalES . NormalESConfidenceInterval . NormalESDFPerc . NormalESFigure . NormalESHotspots . NormalESPlot2DCL . NormalESPlot2DHP . NormalESPlot3D . NormalQQPlot . NormalQuantileStandardError . NormalSpectralRiskMeasure . NormalVaR . NormalVaRConfidenceInterval . NormalVaRDFPerc . NormalVaRFigure . NormalVaRHotspots . NormalVaRPlot2DCL . NormalVaRPlot2DHP . NormalVaRPlot3D . PCAES . PCAESPlot . PCAPrelim . PCAVaR . PCAVaRPlot . PickandsEstimator . PickandsPlot . ProductCopulaVaR . ShortBlackScholesCallVaR . ShortBlackScholesPutVaR . StopLossLogNormalVaR . TQQPlot . VarianceCovarianceES . VarianceCovarianceVaR . tES . tESDFPerc . tESFigure . tESPlot2DCL . tESPlot2DHP . tESPlot3D . tQuantileStandardError . tVaR . tVaRDFPerc . tVaRESPlot2DCL . tVaRFigure . tVaRPlot2DCL . tVaRPlot2DHP . tVaRPlot3D .
Some associated R codes: ADTestStat.R . AdjustedNormalESHotspots.R . AdjustedNormalVaRHotspots.R . AdjustedVarianceCovarianceES.R . AdjustedVarianceCovarianceVaR.R . AmericanPutESBinomial.R . AmericanPutESSim.R . AmericanPutPriceBinomial.R . AmericanPutVaRBinomial.R . BinomialBacktest.R . BlackScholesCallESSim.R . BlackScholesCallPrice.R . BlackScholesPutESSim.R . BlackScholesPutPrice.R . BlancoIhleBacktest.R . BootstrapES.R . BootstrapESConfInterval.R . BootstrapESFigure.R . BootstrapVaR.R . BootstrapVaRConfInterval.R . BootstrapVaRFigure.R . BoxCoxES.R . BoxCoxVaR.R . CdfOfSumUsingGaussianCopula.R . CdfOfSumUsingGumbelCopula.R . CdfOfSumUsingProductCopula.R . ChristoffersenBacktestForIndependence.R . ChristoffersenBacktestForUnconditionalCoverage.R . CornishFisherES.R . CornishFisherVaR.R . DBPensionVaR.R . DCPensionVaR.R . DefaultRiskyBondVaR.R . FilterStrategyLogNormalVaR.R . FrechetES.R . FrechetESPlot2DCl.R . FrechetVaR.R . FrechetVaRPlot2DCl.R . GParetoES.R . GParetoMEFPlot.R . GParetoMultipleMEFPlot.R . GParetoVaR.R . GaussianCopulaVaR.R . GumbelCopulaVaR.R . GumbelES.R . GumbelESPlot2DCl.R . GumbelVaR.R . GumbelVaRPlot2DCl.R . HSES.R . HSESDFPerc.R . HSESFigure.R . HSESPlot2DCl.R . HSVaR.R . HSVaRDFPerc.R . HSVaRESPlot2DCl.R . HSVaRFigure.R . HSVaRPlot2DCl.R . HillEstimator.R . HillPlot.R . HillQuantileEstimator.R . InsuranceVaR.R . InsuranceVaRES.R . JarqueBeraBacktest.R . KSTestStat.R . KernelESBoxKernel.R . KernelESEpanechinikovKernel.R . KernelESNormalKernel.R . KernelESTriangleKernel.R . KernelVaRBoxKernel.R . KernelVaREpanechinikovKernel.R . KernelVaRNormalKernel.R . KernelVaRTriangleKernel.R . KuiperTestStat.R . LogNormalES.R . LogNormalESDFPerc.R . LogNormalESFigure.R . LogNormalESPlot2DCL.R . LogNormalESPlot2DHP.R . LogNormalESPlot3D.R . LogNormalVaR.R . LogNormalVaRDFPerc.R . LogNormalVaRETLPlot2DCL.R . LogNormalVaRFigure.R . LogNormalVaRPlot2DCL.R . LogNormalVaRPlot2DHP.R . LogNormalVaRPlot3D.R . LogtES.R . LogtESDFPerc.R . LogtESPlot2DCL.R . LogtESPlot2DHP.R . LogtESPlot3D.R . LogtVaR.R . LogtVaRDFPerc.R . LogtVaRPlot2DCL.R . LogtVaRPlot2DHP.R . LogtVaRPlot3D.R . LongBlackScholesCallVaR.R . LongBlackScholesPutVaR.R . LopezBacktest.R . MEFPlot.R . NormalES.R . NormalESConfidenceInterval.R . NormalESDFPerc.R . NormalESFigure.R . NormalESHotspots.R . NormalESPlot2DCL.R . NormalESPlot2DHP.R . NormalESPlot3D.R . NormalQQPlot.R . NormalQuantileStandardError.R . NormalSpectralRiskMeasure.R . NormalVaR.R . NormalVaRConfidenceInterval.R . NormalVaRDFPerc.R . NormalVaRFigure.R . NormalVaRHotspots.R . NormalVaRPlot2DCL.R . NormalVaRPlot2DHP.R . NormalVaRPlot3D.R . PCAES.R . PCAESPlot.R . PCAPrelim.R . PCAVaR.R . PCAVaRPlot.R . PickandsEstimator.R . PickandsPlot.R . ProductCopulaVaR.R . ShortBlackScholesCallVaR.R . ShortBlackScholesPutVaR.R . StopLossLogNormalVaR.R . TQQPlot.R . VarianceCovarianceES.R . VarianceCovarianceVaR.R . tES.R . tESDFPerc.R . tESFigure.R . tESPlot2DCL.R . tESPlot2DHP.R . tESPlot3D.R . tQuantileStandardError.R . tVaR.R . tVaRDFPerc.R . tVaRESPlot2DCL.R . tVaRFigure.R . tVaRPlot2DCL.R . tVaRPlot2DHP.R . tVaRPlot3D.R . Full Dowd package functions and examples
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