data_euro |
Historical data for the eurozone (GDP and Financial Conditions) from 2008:Q4 to 2022:Q3 |
data_param_histo |
Historical parameters (skew-t) for the US from 1973:Q1 to 2022:Q3 |
data_US |
Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3 |
f_compile_quantile |
Estimation of quantiles |
f_distrib |
Distribution |
f_ES |
Expected Shortfall |
f_histo_RM |
Historical parameters and Risk Measures |
f_param_histo |
Historical parameters |
f_plot_distrib_2D |
Plot of historical distributions in 2D |
f_plot_distrib_3D |
Plot of historical distributions in 3D |
f_VaR |
Value-at-Risk |