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Install
install.packages('QRM')
Monthly Downloads
1,006
Version
0.4-13
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
March 18th, 2016
Functions in QRM (0.4-13)
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GPD
Generalized Pareto Distribution
Pconstruct
Assemble a Correlation Matrix for ML Copula Fitting
DJ
Dow Jones 30 Stock Prices
GHYP
Uni- and Multivariate Generalized Hyperbolic Distribution
QQplot
Generic Quantile-Quantile Plot
BiDensPlot
Bivariate Density Plot
QRM-package
Quantitative Risk Modelling
Gumbel
Gumbel Distribution
spdata
Standard and Poors Default Data
GIG
Generalized Inverse Gaussian Distribution
VaRbound
Computing lower and upper bounds for the (smallest or largest) VaR
GEV
Generalized Extreme Value Distribution
cac40
CAC 40 Stock Market Index (France)
POT
Peaks-over-Threshold Method
xdax
Xetra DAX German Index
Spearman
Spearman's Rank Correlation
game-aux
Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
Kendall
Kendall's Rank Correlation
spdata.raw
Standard and Poors Default Data
danish
Danish Fire Losses
hsi
Hang Seng Stock Market Index
Gauss
Multivariate Gauss Distribution
edf
Empirical Distribution Function
dji
Dow Jones Index
eigenmeth
Make Matrix Positive Definite
ftse100
FTSE 100 Stock Market Index
smi
Swiss Market Index
equicorr
Equal Correlation Matrix
NH
Normal Inverse Gaussian and Hyperbolic Distribution
sp500
Standard and Poors 500 Index
CopulaAC
Archimedean Copulae
Credit
Credit Risk Modelling
QRM-defunct
Defunct Functions in Package QRM
ES
Expected Shortfall
FXGBP.RAW
Sterling Exchange Rates
PointProcess
Point Processes
Student
Student's t Distribution
Pdeconstruct
Disassemble a Correlation Matrix for ML Copula Fitting
nasdaq
NASDAQ Stock Market Index
nikkei
Nikkei Stock Market Index
CopulaGauss
Gauss Copula
game
Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation
CopulaStudent
Student's t Copula