print.ufRisk

This function regulates how objects of class <code>ufRisk</code> are printed.

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>.

Sebastian Letmathe

ufRisk

Risk Measure Calculation in Financial TS

Yuanhua Feng

Xuehai Zhang

Christian Peitz

Dominik Schulz

Shujie Li

print.ufRisk function

<dl><dt>x</dt>
<dd>an object of class <code>ufRisk</code>; for the current package version,
only the function <code>br_test</code> returns such an object.</dd>
<dt>...</dt>
<dd>implemented for compatibility with the generic function;
additional arguments, however, will not affect this print method.</dd></dl>

Arguments

<ul>
<li>Sebastian Letmathe (Scientific Employee) (Department of Economics,
Paderborn University) </li>
<li>Dominik Schulz (Scientific Employee) (Department of Economics,
Paderborn University), </li>
</ul>

Author

Print Method for Objects of Class 'ufRisk' — print.ufRisk

<dl>

<dt>x</dt>
<dd>an object of class <code>ufRisk</code>; for the current package version,
only the function <code>br_test</code> returns such an object.</dd>


<dt>...</dt>
<dd>implemented for compatibility with the generic function;
additional arguments, however, will not affect this print method.</dd>

</dl>

<ul>
<li>Sebastian Letmathe (Scientific Employee) (Department of Economics,
Paderborn University) </li>
<li>Dominik Schulz (Scientific Employee) (Department of Economics,
Paderborn University), </li>
</ul>

print.ufRisk: Print Method for Objects of Class 'ufRisk'

Description

Usage

Value

Arguments

Author