Other packages > Find by keyword >

matrisk  

Macroeconomic-at-Risk
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("matrisk", "0.1.0")



Attach the package and use:
library("matrisk")
Maintained by
Quentin Lajaunie
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-05-02
Latest Update: 2023-05-02
Description:
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) 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.
How to cite:
Quentin Lajaunie (2023). matrisk: Macroeconomic-at-Risk. R package version 0.1.0, https://cran.r-project.org/web/packages/matrisk. Accessed 22 Dec. 2024.
Previous versions and publish date:
No previous versions
Other packages that cited matrisk R package
View matrisk citation profile
Other R packages that matrisk depends, imports, suggests or enhances
Complete documentation for matrisk
Functions, R codes and Examples using the matrisk R package
Some associated functions: data_US . data_euro . f_ES . f_VaR . f_compile_quantile . f_distrib . f_distrib_histo . 
Some associated R codes: f_ES.R . f_VaR.R . f_compile_quantile.R . f_distrib.R . f_distrib_histo.R .  Full matrisk package functions and examples
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

wordspace  
Distributional Semantic Models in R
An interactive laboratory for research on distributional semantic models ('DSM', see < ...
Download / Learn more Package Citations See dependency  
dmlalg  
Double Machine Learning Algorithms
Implementation of double machine learning (DML) algorithms in R, based on Emmenegger and Buehlmann ...
Download / Learn more Package Citations See dependency  
composits  
Compositional, Multivariate and Univariate Time Series Outlier Ensemble
A compositional multivariate and univariate time series outlier ensemble.It uses the four R packages ...
Download / Learn more Package Citations See dependency  
elect  
Estimation of Life Expectancies Using Multi-State Models
Functions to compute state-specific and marginal life expectancies. The computation is based on a fi ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
tropAlgebra  
Tropical Algebraic Functions
It includes functions like tropical addition, tropical multiplication for vectors and matrices. In t ...
Download / Learn more Package Citations See dependency  

23,394

R Packages

201,798

Dependencies

63,416

Author Associations

23,395

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA