runFTSdata

<p>Application for downloading data from Yahoo Finance</p>

Enables the user to calculate Value at Risk (VaR)
and Expected Shortfall (ES) by means of various types of historical
simulation. Currently plain-, age-, volatility-weighted- and filtered
historical simulation are implemented in this package. Volatility weighting
can be carried out via an exponentially weighted moving average model
(EWMA) or other GARCH-type models. The performance can be assessed via
Traffic Light Test, Coverage Tests and Loss Functions. The methods of the
package are described in Gurrola-Perez, P. and Murphy, D. (2015)
<https://EconPapers.repec.org/RePEc:boe:boeewp:0525> as well as McNeil, J.,
Frey, R., and Embrechts, P. (2015) <https://ideas.repec.org/b/pup/pbooks/10496.html>.

Sebastian Letmathe

runFTSdata: Application for downloading data from Yahoo Finance

Description

Usage

Arguments

Value