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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 02 Feb. 2025.
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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
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