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QuantileModels  

Estimation of Different Quantile Related Models
View on CRAN: Click here


Download and install QuantileModels package within the R console
Install from CRAN:
install.packages("QuantileModels")

Install from Github:
library("remotes")
install_github("cran/QuantileModels")

Install by package version:
library("remotes")
install_version("QuantileModels", "1.0.0")



Attach the package and use:
library("QuantileModels")
Maintained by
Christian Jorge Carreiro
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-25
Latest Update: 2026-06-25
Description:
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.
How to cite:
Christian Jorge Carreiro (2026). QuantileModels: Estimation of Different Quantile Related Models. R package version 1.0.0, https://cran.r-project.org/web/packages/QuantileModels. Accessed 26 Oct. 2026.
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