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ufRisk
View on CRAN: Click
here
Download and install ufRisk package within the R console
Install from CRAN:
install.packages("ufRisk")
Install from Github:
library("remotes")
install_github("cran/ufRisk") Install by package version:
library("remotes")
install_version("ufRisk", "1.0.7") Attach the package and use:
library("ufRisk")
Maintained by
Sebastian Letmathe
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-01-11
Latest Update: 2023-10-22
Description:
Enables the user to calculate Value at Risk (VaR) and Expected Shortfall (ES) by means of various parametric and semiparametric GARCH-type models. For the latter the estimation of the nonparametric scale function is carried out by means of a data-driven smoothing approach. Model quality, in terms of forecasting VaR and ES, can be assessed by means of various backtesting methods such as the traffic light test for VaR and a newly developed traffic light test for ES. The approaches implemented in this package are described in e.g. Feng Y., Beran J., Letmathe S. and Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as Letmathe S., Feng Y. and Uhde A. (2021) <https://ideas.repec.org/p/pdn/ciepap/141.html>.
How to cite:
Sebastian Letmathe (2022). ufRisk: Risk Measure Calculation in Financial TS. R package version 1.0.7, https://cran.r-project.org/web/packages/ufRisk. Accessed 25 Jun. 2026.
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Complete documentation for ufRisk
Functions, R codes and Examples using
the ufRisk R package
Some associated functions: ESTX . WMT . covtest . lossfunc . plot.ufRisk . print.ufRisk . trafftest . ufRisk . varcast .
Some associated R codes: ESTX.R . WMT.R . Welcome.R . covtest.R . lossfunc.R . plot.ufRisk.R . print.ufRisk.R . trafftest.R . ufRisk.R . varcast.R . Full ufRisk package functions and examples
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